It would be wise for you to consult with an experienced family law attorney in your area to discuss this. In Arizona there is a self service center at most county superior court facilities. Here is a link to the Maricopa County page that includes forms and instructions for annulments: http://www.superiorcourt.maricopa.gov/SuperiorCourt/Self-ServiceCenter/Forms/FamilyCourt/
You need to file a Petition for Annulment with the District Clerk. Part of the things you need to allege in an Annulment is that there was fraud in obtaining the marriage. You should consult a lawyer to assist you with this.
If you just got the license but never went through with the ceremony then you are not married to him. If the license has been filed with the county then you file for an annulment the same way you file for disfolution. You can get an attorney to help you or try the self help center at your local family court.
Did you get married? Then you need to file a complaint to annul the marriage citing the previous marriage as the reason. If you are not married, do nothing. The license will expire.
You would file a petition for an annulment. If he was still married at the time you were married, the ground of bigamy would typically allow you to get an annulment of the marriage.
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