Lady Macduff has talked to Ross and is doubting her husband. A messenger then comes in and tells her to depart because she is in danger. She refuses to leave her castle because she has done nothing wrong.
After being warned, murderers enter the castle and kill Macduff's son. In panic, Lady Macduff runs away, because of this we can infer that she is dead.
Malcolm and MacDuff are talking about how little loyalty they have for Macbeth, when Ross enters. MacDuff asks about his families well being and Ross lies and says they are well.
Ross then comes clean to the gentlemen and tells MacDuff that his family has been killed by murderers that were sent by Macbeth. MacDuff has no time to morn for his loss but wants revenge on Macbeth.