Let me applaud you for being one of the few parents out there who monitor their kids internet/gaming activities.
Not to sure if they exist but maybe there is a mod out there that can limit a whisper to only friends and guild mates.
Unfortunately one of the side affects of letting kids play a game like this is they are going to be subjected to issues like this. You could report the issue if it was harassment. You don't even need a player name to do so. Just a date, time frame and description of what happened. Blizz logs ALL chat. They could go back to that conversation time and see if any appropriate action should be taken against the offender. -EDIT- Darn it Silenia you beat me to it .. -EDIT-
Also I suggest trying not to retaliate against people like this (not saying you do or plan on it's just a suggestion
). You know ... the whole "two wrongs don't make a right" argument. Simple right click their name and select ignore. There conversation will no longer be seen by that character anymore.
Good luck