Will this actually involve lying for him or simply keeping silent ( which, of course, is another way of lying)? What's your relationship with his wife like? Are you in contact with them much?

It is so hard to judge what is best to do in these situations. Leaving the morality issues aside, would his family survive the affair if it became known? Do you want to be the catalyst for a break up by telling his secret? Personally,I would refuse to lie for him but otherwise stay out of it....but I can't answer for what might be best for you to do, only you know your circumstances and his.