We have an employee that is salary. He is exempt from OT. He worked on Monday, but then was terminated that evening. Do we owe him for the whole week because he is salary?

First of all, salaried is just a pay method which means nothing in and of itself. What matters is exempt or non-exempt.

But regardless of which he is, he only has to be paid for the time he actually worked. Even an exempt employee is not due pay for time after he is no longer employed.

Agreed.
http://www.dol.gov/dol/allcfr/ESA/Title_29/Part_541/29CFR541.602.htm