First, be supportive. It's often difficult to acknowledge sexual harassment and to manage the personal and professional conflicts that ensue. Then, talk to the associate about taking action, including reporting the matter. She may not want to go further, but you both should be aware of your firm's policies and practices for reporting and investigating acts of sexual harassment. Encourage the associate to read the firm's policy and to consider the legal consequences of her decision to report the harassment or not.
You might also suggest that she talk to a managing or ethics partner, or to the human resources director. It's often possible to reassign an associate to another partner without engendering negative consequences to the associate's status in the firm. It's in the firm's interest to deal swiftly and effectively with sexual harassment. Most firms want, at the very least, to avoid liability. In fact, there may be circumstances under which you will have to reveal your friend's confidences. You could be called as a witness in any legal matter arising from this situation. You should certainly discuss this with her. Even if you're not called to come forward, try to reconcile the associate's best interests with those of the firm. Good judgment suggests that you do your best to prevent such incidents from recurring.