skat - you have had some great advice from people who really do know what they are talking about.
When my XH walked out with no prior warning announcing that he no longer loved me, it was a huge shock. I begged him to come back, to try again. I threw all my dignity out of the window. Don't do that to yourself.
I agree regarding contact. When XH first left, he came round twice a week to have tea and put DD (then 4yo) to bed. It just created confusion and upset for everybody, but I did it because I hoped that we could work things out. But in reality, I sat and cried every time he left, DD woke up in the morning thinking that he was still here. It was awful. Contact needs to be doorstep handovers and he sees them away from the house.
Your H needs to go today, with his belongings. What happens from then on is up to you, but you will be more in control of the situation.
Regarding financial matters - if he has gone, then put the wheels in motion for life as a single parent. Contact the Tax Credit Office - maybe not today as they will be very busy.... but ring them and make a claim as a single person. Contact the Council Tax office and advise them that you are on your own.
Ring the mortgage company, advise them that your husband has left and ask them to put a stop on the mortgage, so that neither of you can use the property as collateral for any loans, without permission of both of you. Also ask if there is any maternity payment breaks that can be taken. He is still responsible for paying the mortgage while his name is on it.
Ask him how he intends to provide for his children and pay the mortgage. If he refuses to discuss it, then ring the CSA.
You will not want to think about any of these things, but you need to protect yourself now.
The others are right when they say that this is not the man you married. Be prepared for him to change into somebody that you dont recognise.