Try not to make any rash decisions right now b/c it's all very new and you really haven't stopped to think about it. Did he actually move out? Two very differenct conversations depending on whether or not you are all under the same roof.
You don't say how old your children are b/c that's a huge factor as well. You may be wise to say as little as possible about the "specifics" until you have your head around it. If he's a good dad and you want the kids to maintain a relationship and respect for him, keep the details to yourself.
If he has moved out... your kids already know that something's going on. Be honest with them, but keep their ages in mind. If they are young (preschool-2nd grade)... "Daddy and I are having a hard time getting along right now and daddy is going to stay at ______ while we figure it out." If they are older, something similar, but with more mature language.
They will have a range of emotions- sadness, anger, fear, anxiety. Encourage them to talk to you and then just listen... reassure them that you both love them and that you will continue to be their parents, no matter what. Then do your VERY best not to disparage your husband in front of them.
Try the counseling... but don't stay together for the kids- that never works and does more harm in the long run. A good therapist will help guide you both into making a decision that will result in a healthier long-term outcome.
Good luck and don't hesitate to get the kids some counseling if you start to notice emotional or behavioral changes.