What are my duties regarding reporting plagiarism when reviewing a fellow graduate student's paper?
If you've spotted plagiarism, you have a duty to report it to a responsible authority. Just because the student is a fellow graduate student in your department does not absolve you of the duty. However, the politics of the situation can make things much more complicated, because it may lead to intra-departmental conflict, which is most certainly not a good thing.

I would believe the correct initial approach is to notify the professor of the current course of the current and past plagiarism. If you feel that no appropriate action has been taken, then you can consider notifying the instructor of the past course; however, the actions that can probably be taken are somewhat more limited than for a class where the final grades have not yet been assigned or have only recently posted.

How far you want to pursue this matter, on the other hand, depends on how serious you believe the transgression is. If the plagiarism is serious enough that it calls into doubt the student's ability to be an independent researcher, then further escalation—perhaps (in order of approach) to the graduate "officer" for the department, the chair of the department, or the dean for graduate students—may be necessary, if your initial efforts don't lead anywhere. This is, admittedly, a rather severe course of action, and one which may cause problems for you later down the road. So I would also recommend talking to your advisor as well, and solicit feedback as to what are the consequences of pursuing this.