First of all...I can't believe the OW had the AUDACITY to come to your home to talk to your H.
My suspicion, since your H went to the C with you and did go through the session, is that he does want you M to continue. Hon, if he didn't...he'd already be gone. However, in order to save your M, begin repairs and rebuilding...she must be completely out of the picture. He must cut off all contact, that is non-negotiable. You cannot rebuild your M with her in the picture in any way whatsoever...make sure to make that crystal clear to him.
As for how you feel right now, you're going to go through a gammet of emotions, hurt, anger, depression etc. Go through it, don't try to shut the feelings out, don't try to stifle them...go through them and get it out. If you still love your H you can save your M. And simply the fact that both of you went to the session, even after he dropped that poorly timed bomb on you, is a good sign.
Now to trust....oh heck yeah it's going to take time to rebuild that, but it can be done with time and with changes in your M. Does that mean you'll forget what happened....nope, probably not. But with work, forgiveness, love, and perserverence....it doesn't mean it has to happen again either.
Many, many...people experience what you are right now and come through it. Many people successfully rebuild their M's and have stronger, better marriages than they thought possible...after affairs.
So take some time. Do some thinking and when you H comes back...sit down and have a long talk with him about what direction you want your M to go. If you both agree you want to save what you have...put down a ground rule that he must break off ALL contact with the OW.
If for whatever reason she feels the need to come around looking for him again (still can't believe her audacity on that one)remind her there are such things as restraining orders This is the same woman who asked if there was anything she could do to help your M right? Don't you just want to smack her!? Heck I'd do it for you...how two-faced can a person be?