Police say the shooting happened at the Azana Salon & Day Spa near the Brookfield Square Mall at about 11 a.m. CT. Four other people were wounded. All four were at a hospital and expected to survive.
The suspect was identified as Radcliffe Franklin Haughton, 45, of Brown Deer. His car was located.
Brookfield Police Chief Dan Tushaus said an improvised explosive device was found at the spa. A bomb squad was investigating. It was not clear whether it remained a threat.
WISN-TV reported that all businesses in the area were on lockdown. A sea of ambulances and emergency vehicles surrounded the area.
Authorities said they believed the shooting was related to a domestic dispute. Online court records showed a temporary restraining order was issued against Haughton in Milwaukee County Circuit Court on Oct. 8 because of a domestic abuse complaint. He appeared in court Thursday, when a no-contact order was issued, and he was told to turn all his weapons over to the sheriff's department.
One witness reported to the Milwaukee Journal-Sentinel that he saw a young girl hysterically running through the parking lot at Brookfield Square Mall.
"She was screaming, yelling, crying hysterical. She was pleading for help," Christopher Pfeiffer, 47, said. "She kept saying, 'My mother was shot.' And she mentioned that there was a gunman. She ran into the book store."
President Barack Obama was briefed on the tragic shooting, and was informed that the incident did not appear to be terrorism-related.
"The President and First Lady's thoughts and prayers are with the victims of this horrible shooting and their families," the press secretary said in a statement.
It was the second mass shooting in Wisconsin this year. In August, Michael Page, a 40-year-old Army veteran and white supremacist, opened fire at a Sikh temple about 25 miles away, killing six people and injuring three others before fatally shooting himself.
The shooting also took place less than a mile from where seven people were killed and four wounded on March 12, 2005, when a gunman opened fire at a Living Church of God service held at a hotel.
The Associated Press contributed to this report.