The first place you should go if at all possible is to your direct supervisor. He/she is likely in the best position to understand the problem and to provide direct assistance if you need it.
Sometimes students are uncertain about whether to and how to approach their research advisors when they have questions about ethics and research conduct. If you need help, then the best advice is to seek it out. So, if you see or have a problem, it is wise to consult your advisor, who likely has more experience and can at least advise you concerning where you should go for assistance.
That said be sure to think through the situation before you approach your advisor. It is important to understand that depending on the nature of the problem (if it involves criminal activity, harassment, etc.), your advisor may be obligated to take certain actions based on the information you provide him/her. Don’t assume that your advisor can or will keep your information confidential. Legal (his/her employer) and moral obligations may supersede his/her ability to keep your discussion confidential.