EEA family member got married abroad divorce EU dutch

Hello,
I have got married in Nov 2007 in Africa with a dutch EU and joined him on Feb 2008. We are still living at the same address.
I have been granted a 5 year UK resident permit.
I am expecting a baby in end July 2009.
I am planning to divorce asap.

I was wondering if you can advise about the question below:
- Do I have to initiate the divorce procedure in Africa or in the UK?
- Will the Home Office revoke my Resident permit?
- What about the fact that I will have a baby in end July 2009?

Thanks in advance