I was recently told by my manager that one of my coworkers (call him Steve) will be fired in a few weeks, as his last reviews were found unsatisfactory.

My manager also told me to "inquire and observe" more closely Steve's work and clients from now on, (he works on sales and marketing) so his knowledge is preserved in the company and so I can learn more about those things (as I will be assigned some of his tasks and clients after he leaves).

Now, I was also told to do this with "discretion", so he doesn't suspect anything unusual is happening. Also, it is of my knowledge that his firing will be immediate, so he won't be getting any previous notice whatsoever.

I can't help to feel that I should *warn* Steve somehow, as it seems unethical to fire him without any previous notice (thus affecting him greatly), not to mention asking me to "spy" on him and pretend nothing is going on.

Even thoug I feel like warning him, this seems to be a *bad* decision. I feel really uncomfortable with the idea of having to stalk on him so I can absorb any knowledge he has before leaving. 

Are there any other options I might consider to prevent this knowledge situation from being handled that way? Could it be done in a more transparent way, something that would even help the knowledge transfer?