First and foremost, you must react to your husband as if he is someone who cannot be trusted, because he can't. Don't ever think to yourself "Oh, he would never do that no matter what" because you don't know that. You never thought he'd cheat and impregnante someone else either, so essentially, all bets are off with regard to what he is capable of. I don't mean to be harsh, but I cannot impress that upon you enough. I have known too many people, both men and women, who have been taken to the cleaners during times of marital strife because they gave their spouse the benefit of the doubt, or gave them too much credit for what they would or would not be "capable of". Assume that he is capable of anything at this point.
Go to a doctor and get tested for STDs, HIV...the whole range of possibilities that can occur with having unprotected sex with someone who is of questionable morals. Your husband and his girlfriend are people of questionable morals.
Go to a lawyer for information. I am not saying that you need to do anything other than gain information. Tell the attorney your situation. You want information about child and spousal support, and how this out-of-wedlock child is going to impact the support you could potentially receive for your child.
Get a handle on your entire financial situation. Make sure you know what you have in savings, retirement savings, credit and other debt. Make dated copies of everything so you will know that on "X" date we had this financial picture.
Watch your credit card statements closely, if you have joint cards. I would almost consider taking my name off the ones I held jointly with him and starting new ones in my own name with the notation that he DOES NOT have access to them.
Start saving separately from your husband, and in someone else's name if possible...your mother, your sister, a trusted friend. I worked with a woman at a previous job (back in the late 80's/early 90's) who had an unfaithful husband. She also had an ill child, so she had to stay with her husband for a period of time to utilize his health benefits for the treatment their child required. Once that was all set, she left him. However, the entire time she was staying with him, she would buy a savings bond every week with some of the household money. She would put the bond in her mother's name. She would also ask him for a little extra money every week because "meat was on sale" or "the kids needed new sneakers" or whatever. Since he knew he was a cheating scum, he didn't hesitate to give her what she asked for. She made a full time job out of shopping sales so her kids never wanted for a thing, but she was able to always "skim" money off the top of everything. She also made sure that when he told her to "go pick out something nice" for her birthday, Christmas, aniniversary etc., that she picked an expensive piece of jewlery that could be sold later for a good price. When she finally left him, she had quite a bit of $$ in savings bond & also sold a lot of the jewelry, since, as she said, it held no sentimental value...between the 2 things, she had enough to build a very nice home for her and her mother down in Florida. Very good planning on her part.
These days, I'd probably look into the AMEX or VISA gift cards as a way to "hide" some funds. Take the cash, buy a GC. Just make sure they GC doesn't have a service fee or something after so many months of not using it or whatever.
Think long and hard about this, and don't make a rash decision. Some things to think about:
~Will your life and your child's life be better with or without this man? Granted, as your child's father, he will still be part of your life to a certain extent, but you don't have to be tied to him maritally.
~What will he have to do to regain your trust? Will he be willing to do it? Will he be able to do it?
~Will you be able to deal with the other woman and their child? Remember, their child is an innocent victim in this saga, just like you and your child are. But the child will be a part of your life in some capacity, even if it is just knowing that he/she is "out there" somewhere.
~As someone else said, you are young, so really, really think long and hard to determine if you want to continue to tie yourself to this man, and possibly be going through this same thing again in 10 years. As someone else said "A zebra doesn't change its stripes". My mother always used to say "A leopard doesn't change its spots". Same essential message. I have yet to meet anyone that I know who has cheated, worked through it, been forgiven, yadda, yadda, yadda who eventually doesn't cheat again. It sometimes takes years, but it usually happens. A one night stand can be a "mistake", a "bad decision", an "error in judgement" a "bad choice"....a long-term relationship that produces a child is just that...a long-term relationship. It's not one stupid mistake one time. It's a choice he made daily...to continue the relationship, knowing he had a wife and child at home. Big difference.
~The other woman. Yes, she is scum. Yes, she is a piece of trash for going with your husband. I am not giving her a pass, by any means. But, the fact remains that you need to concern yourself with your husband and his behavior, because if he wasn't accepting her attention, she would have turned it elsewhere. That old excuse "Well, they're men. What can we expect?" doesn't fly with me. We do men a grave disservice by thinking that they are unable to control their animal urges and just "have to" give in. Mature, committed men of morals do not behave this way, no matter what kind of "things" they are "going through". Period. "I was going through some things" is a cheap excuse and a lousy explanation for being pissed at getting caught, which I think your husband ultimately is...pissed at getting caught. If he did tell his girlfriend to get an abortion and threaten her and so on, and that's a big "if" since you heard it from her, I think even less of him. But again, I wouldn't deal with the girlfriend at all, since the issue is him.
Take your time, take a breath, get all your ducks in a row,
know your rights, know the information you need to know to make the best decision for you and that beautiful litle girl of yours.
I wish you well in the difficult times you have ahead.