Well Janet, your loyalty should be to your friend and not someone who is an acquaintance who you know to be a bad person and know to be hurting your friend.
If it was me and a good friend asked me directly, I would say what I'd 'heard' and make sure he knows that it's only what you heard and that as far as fact goes this is what you know, and stress that you want nothing to do with it but out of loyalty to him you aren't going to pretend the situation doesn't exist at all and that you haven't heard anything and don't know anything. If you're dishonest by omission, you risk the truth coming out eventually and her saying well Janet knew and she didn't tell you so she's just as bad as I am etc.
I've never been someone to put myself in the middle of a situation that I've snooped my way into but if someone flat out puts me in it and asks me directly I've always found that it's so much better to just be straight up honest and let them be in the know of everything that you know or have heard so that they can make their own judgment based on the facts or rumors themselves; it's just essential to clarify what you know as fact and what's just something you heard through the grapevine.