Do you get threat every game week or only in encauntert and dungeons and do you keep the threat from one dungeon to another ?

The one and only said:

You only get Threat in encounters and dungeons. It does not carry over between Dungeons and Encounters.

You don't get any Threat if the Heroes don't do one of those two things during a game week. It almost sounds like you were thinking about Conquest/XP rather than Threat.

But do you keep the overlord cards and threat from one level to another?

Yes, you use the same OL deck and Threat pool for the whole 3 (4 for Legendary Areas) level dungeon.