Hmmm.. Bustorama is right, but I think how you go about it is important. There will be time later to deal with the issues.
For now, maybe you could find a non-threatening way to let him know that you would like him to cut off all contact with OW. All.
Confused or not, dealing with her will be very difficult for him since he'll be living in two worlds. It'll cause a lot of stress to say the least. And for you.
Also, have you worked on how you listen to him and his needs? It seems that he needs that at this point. Without judgement. Just listening as somebody who cares. That's very hard considering, but it would make a world of difference.
You are not the first marriage to go through this. It's just that people don't usually talk about it openly. I know many successful marriages that did and found a way to get through it.
AJ
"Our lives begin to end the day we become silent about things that matter" MLK Put the glass down... "Yesterday I was clever so I wanted to change the world Today I am wise, so I am changing myself."