Learn Dutch: We gaan wandelen, behalve wanneer er een zware bui aankomt. - We are going for a walk, unless a heavy shower is coming.

Both mean 'unless' and can often be used interchangeably. Tenzij is the standard, direct translation for 'unless'. Behalve wanneer literally means 'except when' and places a slightly stronger emphasis on the specific condition or timing of the exception (the heavy shower). Both introduce a subordinate clause, pushing the conjugated verb to the end.

Why is aankomt written as one word at the end of the sentence?

The conjunction behalve wanneer introduces a subordinate clause, which forces the conjugated verb to the end of the sentence. The verb is aankomen (to approach or arrive), which is a separable verb (aan + komen). In a normal main clause, they would split up (for example, de bui komt aan), but because the subordinate clause pushes the verb komt all the way to the end, it reunites with its prefix aan to form the single word aankomt.

Why is the word er necessary here? Could I just say behalve wanneer een zware bui aankomt?

You need er here because the subject of the subordinate clause is indefinite (een zware bui, meaning 'a heavy shower', not 'the heavy shower'). Dutch uses er (meaning 'there') to introduce an undefined subject, similar to saying 'unless there is a heavy shower coming' in English. Leaving it out sounds unnatural in Dutch.