No. Some employers choose to disclose the salary ranges for jobs, but you are not required to show an employee your company wage guidelines, nor do you need to share with them what other employees make or what criteria you use to determine their individual salaries.
However, you may need to allow employees access to their own personnel file or payroll records upon request if doing so is required by state law or your company policy, and I would not advise preventing employees from discussing their wages or other terms and conditions of their employment. Section 7 of the National Labor Relations Act protects the right of employees to discuss these matters with each other.
In this case, the employee is presumably asking because they believe some wages – quite possibly their own – are not fair. They may also have information about how much their co-workers are making. I recommend that you be prepared to have a candid discussion with them about why they are paid what they are paid and the company’s compensation strategy or philosophy in general. Although you aren’t required to have such a discussion, chances are something is brewing and a conversation may help deescalate the situation and make them feel heard.