Ricardo,

If a rule within a trigger has been violated, you can return a status message to the client by using the TSQL RAISERROR command.

Expanding on your example:

CREATE TRIGGER TD_Customer ON customer FOR DELETE
AS
IF EXISTS (
  SELECT * 
  FROM orders INNER JOIN deleted
  ON orders.custid = deleted.custid)
  BEGIN
    RAISERROR('Customer has orders and cannot be removed', 11, 1)
    ROLLBACK
  END

The RAISERROR command will return the message back to the client with an error number of 50000. It's also possible to create your own error messages using the SEM or the sp_addmessage system stored procedure.

-Mike