I would be completely honest, but firstly you need to think about what you want - IF he IS having an affair, are you prepared to try and work through it? What if you confront him, he comes clean and then decides to leav you for this woman? Would you prefer to just turn a blind eye? Are you going to want to end your marriage?
Personally, if I was in your position, I would tell my husband that I knew it was wrong but I had checked the phone and could he explain the messages. I would also acknowledge that perhaps there have been problems for a while now (just judging by your last post, although you should not in any way blame yourself if he has strayed xx) and then I would suggest that we attended relationship counselling together.
I'm sorry if that's a bit confuddling, I have a fuzzy head cold and am not reading it right! I hope everything works out for you whatever you choose GoldHoop xx