Is it permissible for the wife to go to where the husband is cheating and confront him and his married female colleague whom he is secretly dating? And is she obliged to inform his brother of what her husband is doing in his brother's house?

What the husband is doing is reprehensible, and he must repent. If he does not respond to advice and threats of exposing his affair, measures must be taken to stop him, such as informing his brother or seeking help from the righteous members of his family. Going to his brother's house to confront him is a form of enjoining good and forbidding evil, provided that it does not lead to a greater harm. It is advised to take care of the husband and fulfill his rights.