Boobesque is quite right - it was natural for your son to be curious, and it certainly doesn't mean he is perverted or a molester. However, if I was in your shoes, I would have a conversation with my son to gently explain that he may have frightened or embarassed his cousin by asking to see her private parts - how would he feel if she asked to show his to her? And to tell him he's not done anything wrong(don't want to give him any hangups!) but that we cover bits of our bodies so that people don't stare or giggle at them, and you don't ask to see these bits.
Hope this makes sense to you!