All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad is His slave and Messenger.
First of all, it should be known that the marriage of that woman to a non-Muslim is invalid as we have previously clarified in Fataawa 81220 and 84265.
Under the assumption that she was his wife before she embraced Islam and then she embraced Islam while her husband remained a disbeliever, then her marriage contract with him would have become invalid at the time she became Muslim and it is unlawful for them to have sex. If he converts to Islam while she is still in her waiting period [that is, from the day she became Muslim], then she remains his wife under the original marriage contract. At any rate, she is unlawful to him as long as he is a non-Muslim. Thus, it is an obligation to censure her for staying with him and it should be explained to her in a gentle manner that him having sexual intercourse with her is Zina (fornication) in its purest form. For more benefit, please refer to Fatwa 166951.
As regards your wife, her going to that woman is a very serious matter and a great door to evil, so you are obliged to prevent her from doing so. A husband is Islamically required to protect his wife and use every possible means to prevent her from the causes of temptation. Allaah says (what means): {O you who have believed, protect yourselves and your families from a Fire whose fuel is people and stones, over which are [appointed] angels, harsh and severe; they do not disobey Allaah in what He commands them but do what they are commanded.} [Quran 66:6]
Ibn ‘Abbaas said in his interpretation of the above verse: “(it means:) teach them and discipline them.” Besides, your wife is obliged to obey you in this regard as Allaah made you her protector. Allaah says (what means): {Men are in charge of women by [right of] what Allaah has given one over the other and what they spend [for maintenance] from their wealth.} [Quran 4:34] Moreover, it is confirmed that Abu Hurayrah narrated that the Prophet said: “If I were to command anyone to prostrate themself before someone else other than Allaah, I would have commanded the wife to prostrate to her husband." [At-Tirmithi]
Finally, we would like to point out the two following matters:
1. One should be keen on keeping company with the righteous and avoiding the wicked, as company affects company either positively or negatively. Abu Moosa Al-Ash’ari narrated that the Prophet said: “The example of a good companion in comparison with a bad one, is like that of the seller of musk and the one who blows the blacksmith's bellows; from the first you would either buy musk or enjoy its good smell while the other would either burn your clothes or you get a bad nasty smell thereof." [Al-Bukhari and Muslim] Besides, Abu Sa’eed Al-Khudri narrated that the Prophet said: “Do not keep company except with a believer and none should eat your food except a God-fearing person.” [Abu Daawood and At-Tirmithi]
2. It is not permissible to keep dogs except for a valid purpose, like hunting or guarding, as the Prophet said: “Whoever keeps a dog, except a dog for guarding or hunting, will lose a Qiraat of reward from his good deeds every day." [Muslim] For more benefit, kindly refer to Fataawa 86844 and 86508.
Allaah Knows best.