Forewarning, I don't have children and am SO not in that stage in my life. But, from what I understand about the way young ones handle family situations like this... chances are they're thinking about what this means for them.
Try to put yourself in their spot. Your son will probably wonder what this will mean in his life. If you are all being mom and dad to the new baby, does that mean he's got to treat all of you as his moms and dad too? How often should he expect to see the baby? What is the baby to him, his new brother/sister? How much of your time will be taken away from him to take care of the baby? How is he supposed to tell you if he feels like he's not being payed enough attention to?
As for helping him retain respect for his father as not someone who's cheating, maybe try and frame it in the perspective that this baby is part of the whole family, and not just something his father did by accident. Make sure he knows that this baby is your baby too, and you want this as much as them, and its all a decision made by the three of you to be a family. And I think what Mono said, about making sure you're the one doing the talking at first.
Your kids can probably sense any jealousy issues you're grappling with, and of course those are all natural. I think being honest about those feelings will help them accept that its a real thing, and not just something you're hiding and struggling with on your own or that you secretly hate all this.
As for helping the kids to understand that you are all in love with each other, and that its not strange, maybe go from the perspective that there's lots of room for lots of kinds of love. And more people doesn't mean the love is split up. Just like when his sister was born, and when this baby is born, it doesn't mean you love him less. Just like when this new woman came into your lives, his mom and dad didn't love each other any less.
I do believe that as far as your lover's family is concerned, it would be a shame to try and raise the baby with an air of secrecy forced on the child. Whether you say it out loud or not around the child while it grows up, your actions, the amount of time spent visiting, the tension in the air or mood while with her family, all of those things affect a baby. I think its best to find a way to be honest with all of her family about it, and if they have trouble accepting it then A: at least they'll be able to hold the adults responsible for their judgments, not the baby. and B: if they still do impose their judgments upon the baby, its probably best to keep a safe emotional distance between them and the baby, and be able to explain to the child honestly about WHY the situation is the way it is.
At least in this fashion, he or she doesn't have to grow up lying. Keeping this a secret will imply to the child that the circumstance of his or her life are shameful. While some people might feel that way or express that to him or her, at the very least its parents should be willing to say it openly and make him/her feel like there's nothing wrong with it.
Just.... my two cents.