We have developed a high-bandwidth technique for active 2-particle microrheology (AMR) with which we can probe linear and nonlinear responses of soft materials. Micron-sized colloidal probe particles are driven by an oscillating optical trap, and the resulting correlated motions of neighboring particles are detected by laser interferometry. Lock-in detection at the driving frequency and at its second harmonic makes it possible to measure the linear and the non-linear response of the embedding medium at the same time. We demonstrate the sensitivity of the method by detecting a second-harmonic response in water which is of purely geometric origin and which can be fully understood within linear hydrodynamics.