Her only appearance in the play is in Act IV, Scene ii. When she is first shown she is talking to Ross, one of the Thanes. Lady Macduff is furious at her husband for fleeing the country without taking his family with him or even saying goodbye. Sadly she notes that her son is fathered, yet he's now fatherless. Ross feels sorry for the mother and son and decides that he shouldn't stay any longer, because if he did it would be his disgrace and her discomfort (most likely meaning he'd start to cry).
Once he leaves Lady Macduff turns to her son and tells him that his father is dead. He doesn't believe her, but she still insists that what she said is true. He then tells her that if Macduff were dead, she'd be weeping for him, and that if she didn't then it would be a good sign that the boy would soon have a new father.
They begin to joke. A messenger enters, telling Lady Macduff that danger is approaching. She wonders where she should go, and wonders why anyone would want to hurt her, since she has "done no harm". Then she remembers that she is in a world where to do good is sometimes considered "dangerous folly."
At that point, Macbeth's murderers enter. They ask her where her husband is, and although she doesn't know, she tells them that she hopes he wouldn't be in any place where he could be found by the likes of them. When they respond by calling Macduff a traitor, the boy jumps forward and defends his father. To Lady Macduff's horror, her son is brutally stabbed before her eyes.
With no other choice she turns and runs as fast as she can through the castle, screaming "Murder!"
It is later revealed that the murderers had killed her too.
But it's okay because she's a neat lady.