One suggested response might be:

"(Wife), look, this is YOUR idea, not mine. I do not want a divorce. If that's what you want, I won't stop you, but I'm not going to sign any divorce or legal separation papers without first running them by my attorney, and I'm just not prepared to discuss that right now. What you're doing by having an affair is not only incredibly disrespectful to ME, and to our MARRIAGE, but it's also destructive to our FAMILY. I won't live in an open marriage, but I'm not going to sign something that's not in my best interests. Now, I have to run and (insert GAL activity here). We'll talk more about this later."

Puppy