In Act 4, scene 2. This short scene is most harrowing, as first, two well intentioned and earnest gentlemen, Ross a Thane, (Earl), and an unnamed messenger, implore Lady Macduff to immediately leave her house as. "Be not found here. Hence with your little ones!... I dare abide no longer."
Shakespeare racks up the anxiety as first Ross, and then the messenger beseech Lady Macduff to get out!
She has no fear however, "Whither should I fly? I have done no harm."
Then, murderers enter, kill her son, and Lady Macduff exits crying "Murder!" pursued by the murderers.