Yell and scream at him, call him names, whatever makes you feel better but then control the anger. Allow yourself to feel it, you have after all been betrayed in the worst way, but then let go. You won't accomplish anything while angry.
Talk to him. Communication is everything. You will need an explanation (you are entitled to one) and perhaps some sort of closure. Deciding how to proceed after you find out that the guy you've been seeing is married is a very delicate matter, and depends on your objectives with this man. Are you ready to leave him? Are you willing to be the other woman? I'm not advocating that you continue being his coconspirator in deceiving his wife, but in the real world it does happen, so it's worth mentioning. Do you want to resume the relationship once he is divorced/available? Decide what you want and talk to him about it.
The best thing to do, is end the relationship, (now the affair) immediately. That means no sexual intercourse, or deciding that perhaps you can be friends etc. It means no contact in any way until his situation at home is resolved. This is the healthiest course of action as being the other woman is extremely difficult & emotionally draining. Additionally, it leaves the door open for a reconciliation in the future. It demonstrates that you won't tolerate being the second woman in his life, ever. It demonstrates that you have respect for yourself and other women. If he is a man of some dignity, he will respect you for doing the right thing and either end or work on his marriage. If the marriage continues and he continues to cheat, you are better off without him. Remember that you could end up in his wife's shoes.
Don't call his wife. Now you might have been advised otherwise, but in reality it serves no purpose. Wives will claim that they appreciated being told, but more often than not you will be blamed for the affair while she reconciles with her husband. Most women will want to work on their marriage and move past the affair. There are countless websites, books and seminars on exactly that; forgiving infidelity and building a stronger marriage. I know someone who had an affair with a married man. He promised to leave his wife, but was of course lying through his teeth. Finally she got so outraged when it became clear that he has no intention of leaving his wife that she picked up the phone and told her. The wife listened to her story, simply said "thanks" and then hung up. My friend got an update almost a year later. They were still together and working on their marriage. They managed to rekindle their passion for each other and the sex was better than ever. The wife once again thanked my friend who felt worse than she did when she found out that he was married. Additionally, I believe that most women know if their man is being unfaithful. We have great intuition and a gut feeling about these things. It's only a matter of accepting what's right in front of us and no longer being in denial.
Bottom line; if you find yourself involved with a married man end the relationship immediately. If he comes back to you he's yours, if he doesn't, he was never yours to begin with.