I sympathize with Betty and her struggles with the kids, and with trying to be what Don wants. Does she know about his infidelities?
Yes she does. That's part of the reason she's so pissed off at him and why he attempted to be faithful--for a while. She found out that Don was calling her psychiatrist and that her doctor was discussing their sessions together. After she found out, she told the doctor that she wished her husband would be faithful to her, so Don now knows. Presumably there's been much fighting in the 2 year interim. Don, however, gets extremely jealous if he even thinks Betty's flirting with anyone else. Roger invited himself to dinner one night at their home. Betty ate only salad because she only had 2 steaks in the freezer. She laughed at Rogers' WWII stories all night, and then Roger made a crude pass at her when Don was in the garage. Don got very angry at Betty, saying she was egging Roger on. He got up in her face, and she asked if he was going to "bounce her off the walls." A few days later he came home to her fixing pot roast for him and he said, "you do know it's just me, right?"
Later on, when Don got a huge bonus check, he wanted to use it to take his mistress, Midge, to Paris. He wanted to run off to California on the spur of the moment (after finding out what happened to Adam) with his other mistress, Rachel. He was going to leave Betty high and dry with the kids and send child support, but Rachel got a clue and thought, "what kind of a man does that?" and she told him to get out. Don was always picking at Betty, saying she was like living with a child. Don is a ticking time bomb.
I'm haven't really warmed up to Peggy yet (is that her name? The one who had the baby). Did she give her baby up for adoption or is her sister raising it?
Her sister's raising it, but they've implied that it's not what Peggy wanted. Obviously Peggy can't raise it herself as an unwed mother in 1962 with the sexual revolution still a half decade away, but they've implied that Peggy didn't ask her sister to raise it either. The doctor called psych right before Peggy went into labor because Peggy was in complete denial about being pregnant. She didn't know. That's what Anita's reply of "The state of New York didn't think so....the doctors didn't think so" when Peggy said she could make her own decisions was all about. Apparently Peggy was involuntarily committed for a little while, and her sister and mother stepped in and took the baby to raise. She's completely disengaged from the child. Anita's on the cross about it, and it's not something Peggy wanted to happen. She'd have given it up if the state didn't step in. She wouldn't even look at it in the hospital. The audience didn't even realize Peggy was pregnant until the last. It was very clever how it was hidden.
I'm going to respectfully disagree with Temis about Don being more sympathetic. I don't find him sympathetic at all, background or no background. The bit with Adam destroyed any sympathy I had for Don.
His whole life is driven by fear and the need to lie and evade in order to cope with reality, which to him will always be threatening and ultimately incomprehensible. 
