Hmmm, Definitely don't want to give him a complex by shaming him at that age. That could cause permanent damage and adversely affect your relationship. I'm no expert, but IMO the best parent-child relationships I've seen in life are the ones where kids feel like they can discuss anything w/ the parents, especially sex or other delicate issues. This is an opportunity to establish that kind of bond at a young age, the last thing you want to do is project any embarrassment on him.
I'd have a talk w/ him and tell him that his private parts are not for others to see, (outside of the family), the standard modesty talk but w/ no shame attached. That's the big one.
Who knows? Maybe he'll grow up to be President or Sec. of Def.