It's probably a pun. In an organization, "Internal Affairs" is the department that makes sure no one is doing anything wrong. It is often used in police or government. The internal affairs department is who you would tell if you knew that the police were corrupt. "Infernal" is an adjective that refers to hell or the devil. It also sounds a lot like "internal." So, when you say "Infernal Affairs" you're referring to that department, but calling them evil or bad (or really, really annoying).

No, it´s not an idiom. If its spelt correctly it relates to something being tiresome or hellish, in this case affairs (presumably of the heart) - perhaps a title to a book or something. Otherwise, is it Internal Affairs? If so this usually denotes an oversight department within some public body, such as for example the police, the purpose of which is to investigate internal conduct.

It's probably a pun (a play on words). "Internal affairs" is a known phrase. It could be used to describe a department in a government. "Infernal" means hellish, really bad. So the phrase "infernal affairs" could have been used to describe a terrible government department. Without context, that's my best guess.