I have a doubt on Professional responsibility.

I know that if someone is doing anything unethical, we should report to the appropriate body. But what if someone informs me that he is thinking of doing something wrong, what should I do first ?

a) Should I report to PMI

b) Should I report to his/her manager

c) Should I report to my manager

d) Should I first tell him that he/she should not breach the PMI code of conduct.

I believe it should be D. Please correct me if I am wrong.