Welcome here little sister...
I'm so sorry for what happened.
Your husband has been a complete asshole and he's expecting you to happily pick up all the pieces. Your job is to look out for yourself and to respect your needs and boundaries, and to be the best mother you can to your children. It is not to make things easy for him.
One thing that might not be apparent is that you don't have to decide if you want to save your marriage right now or if you want to leave it. That decision will come in time, when you're ready to make it. But you can take action to ensure that you are at your very best, no matter which path you walk.
1. Focus on your healing. Monitor your health, diet, exercise, and see both a counselor and a doctor if able. Read up on the 180 in the Healing Library (let us know if you need the links) as a way to take control of your life back into your own hands. Make sure you have a support network IRL, and try to get involved in some activities that you enjoy and do just for you. Do no plead or entertain your WH's games - he neither respects your nor your marriage and you will not play doormat to him. If he wants back into the marriage, he will have to earn his way in.
2. Protect yourself. He's wanting a divorce, so all you can do is to let him go. You can tell him that you would prefer to work on the marriage, but that as long as he's in contact with the OW or sleeping with other people, you have no desire yourself to stay in it. Consult a lawyer to find out your rights and look into the logistics of separating joint accounts, bills, joint assets, etc. (and although I say look into it, I highly encourage you to follow through as wayward partners have a habit of burning through funds or taking them all for themselves). Affairs and divorce ain't sunshine and rainbows - if he wants this he's going to have to deal with all the ugliness of that reality.
I have a feeling your WH will try to sit on the fence for as long as possible (even though he claims he wants to leave). This is how you kick the damned fence over. Not only will you take control of your life and leave him to deal with the reality he created, you present a strong call to action for him to potentially get his shit together by demonstrating what an amasing person you are and what a terrible place the affair is. It's a bit of a "carrot-and-the-stupid-stick" approach, but remember that you're ultimately doing it for yourself and your family.
I know how much this sucks. It's okay to be upset, angry, sad, scared, and confused. It's going to take time and effort to get through this. But you can do it. You just need to hang in there, stay strong, keep smart, and have a little faith in yourself. Focus on what you can control - your choices and making a commitment to move forward from this hellscape to a brighter future, one step at a time.
You're gonna be okay.