If both of you are still share affection to continue your family, gather courage and allow your husband to accept about his extramarital affair if the issue gets escalated.
Ensure that the there are no monetary dues from your husband's side towards that lady, if there is any offer to and make arrangements to clear it off.
If she files a police complaint or if you/ your husband files a police complaint follow the above suggestion.
Record her threatening calls as evidence in your favour.
Approach a competent advocate locally with all your facts and evidences for a thorough analysis and appreciation of the facts and for seeking proper guidance followed by a good representation in the court.