Why didn't he tell me he was gay?

Well, i think you should chill first off. If they want to be together, so be it. You're just going to have to deal with it. Obviously you don't want to lose your friend, or think any different about your brother. Calm down and sit them both down and talk to them. Tell them how it made you feel. Don't bring the 'rents in it. They don't need to hear about this. But just take a breather, and talk it out.