I've killed everybody. I've gone to the Undercity temple and, after a horrendous battle, killed Sarevok, Semaj and Angelo. But nothing has happened. Where do I go next? Is there still something I need to do?

Erm.... once you've killed Sarevok, the end sequence begins...
After that, the game exits.

If you're able to do anything after killing Sarevok, something is completely wrong with your game.