You would define a model (EDMX) for the customer database and another model for the shared database. A DevForce EntityManager can work with multiple models as shown in these examples:

By default, there won't be navigation properties that navigate from one model to another (DevForce/EF doesn't know about these relationships), but you could write these yourself in the partial classes.

However, I'd recommend that you use a repository pattern in a different assembly to navigate across models. A repository pattern in general is a good idea, and it will save you from having to deal with any circular reference issues if you want to navigate bidirectionally between the models.

For example, one of the methods in the repository might look like this:

country = Repository.GetCountry(address);