Very hard! In my opinion, I would have to make the decision based on a lot of things. One major thing would depend on who I was closer with. In my life, it'd probably be the female. I'd also be able to relate. I've been in this situation with a family member and they were married.
It was terrible, but if it were your actual sister, you'd be wrong not to tell.
I always, always, always go by 'I'd EXPECT you to tell me if a partner ever cheated on me, as a friend. Would you expect the same from me?' you'll usually get a reaction strong enough to know just what to do. In all of my close friendships, this has came up and most of my girlfriends did/do expect me to tell. I'd be furious if one of my friends knew my partner cheated and didn't tell, but I'd also keep it confident if they told me. If the friend says they would want you to tell, but their expression/body language says otherwise then don't. Really, this has always proven to be a good way to decide. It'll never be an easy thing to do whether you tell or keep it a dirty secret. The decision is ulitmately yours.
I would test the waters first. I suppose if you could not bring yourself to tell, but you were 100% sure you needed to, there are ways to make it known without letting them know who told. I had a girlfriend who's husband was cheating on her and she didn't want to believe it, but one of her friends had seen him cheating a lot. She finally took photos with her phone when she saw the 2 of them out at a ball game. That done the trick. Just remember to be sensitive to your friend's feelings.
Best of luck to you.
I know it's an awful situation. Quite honestly though, if the person told you themselves that they were cheating, I'd kick their ass for ever putting me in such a situation! That's not very nice.