I guess he's interested in me, too?...But apparently he's married!!?

I've recently joined the local leisure center with my friend. We go to the health spa most nights. I noticed a man there. He's russian and I liked him as soon as I saw him. Last night In the sauna I looked and smiled at him a few times and he kind of smiled back. I could just feel him looking at me. A bit later on, I was sitting on the sunchairs next to the jacuzzi and he came and sat next to me (He always sits there and sprawls out after being in the sauna)...and I managed to build up the courage to start a conversation. He was asking me about myself, etc. He said he would have to get my email address at reception when we come out, so I agreed. Then this other guy came along and sat down and said ''sorry, is this your girlfriend/mrs? (Which was kinda weird!) Then he said oh no no, we only met today lol. I left before him but was waiting in the car park for him to come out, near my friend's car. When I saw him, I ran over and gave him my email address and said he could email if he wanted to. My other guy friend said that he was in the steam room with him and his friend and apparently his friend...(the guy who asked if we were together- I didn't even realise they were friends) was saying it's a bit bad you talking to her when you're married- and apparently this russian guy was really nice about me...saying I'm really nice, etc and that he's seen me here a few times. Then apparently his friend was saying how fit I was. (Kind of embarrassing). I can't believe he's married. What should I do? He hasn't emailed yet but I might see him there tonight. What should I say? And why do you think he's interested if he's married? He's quite a bit older than me and I do like him a lot. But he's married. It's so bad :S What should I do?