I'm with Walaa on this one - if you have a large number of customers and you need to load the orders for each one, it implies that you may be better of flattening the structure and pulling back the information as a Typed List, assuming it is for display purposes only.
If you do need to edit a customer and his related orders, just load the whole lot in one go - you can load very large graphs in LLBLGen without any significant performance penalty - I frequently do 7 level graphs with many related entites (total into the 1000s) in less than 1 second (assuming your DB server is up to the job)
If you do want to investigate the Context, the documentation is here
Matt