Several things happen to Lady Macduff and her son in IV.ii. She talks with Ross, asserting that her husband's flight from home was madness because his fear has made him a traitor to his duty: "His flight was madness: ... / Our fears do make us traitors." She talks to her son, asserting that he is now fathered but fatherless: "Sirrah, your father's dead; / And what will you do now?" She and her son listen to the warning words the Messenger addresses to her after Ross exits: "Be not found here; hence, with your little ones." Astounded, she puzzles over to which place she should flee and why she has need to flee: "Whither should I fly? / ... to do good sometime [is] / Accounted dangerous folly." Finally, she and her son encounter murderers, sent to find Macduff on Macbeth's orders: "Where is your husband?" Ultimately, she and her son exit, although through different means: "[Stage directions]. Exit LADY MACDUFF, crying 'Murder!'"
The previous scene to this one, Act IV, scene i, ends with Macbeth swearing to act according to his heart's purpose as soon as he thinks a thought. The thought to hand for Macbeth now is that all living persons in Macduff castle should be killed so no lineage of Macduff's should carry on from that day forward.
MACBETH. To crown my thoughts with acts, be it thought and done:
The castle of Macduff I will surprise;
Seize upon Fife; give to the edge o' the sword
His wife, his babes, and all unfortunate souls
That trace him in his line. No boasting like a fool;
This deed I'll do before this purpose cool.
To examine the foregoing in some detail, in the opening of IV.ii, Lady Macduff and her young son are listening to and she is speaking with Ross, Macbeth's cousin and a Scottish nobleman who chooses to reject Macbeth and join Malcolm, Macduff and the English. While Macduff's son is listening, Lady Macduff and Ross are debating whether or not Macduff's flight from home was traitorous. Lady Macduff says that he acted like a traitor: "What had he done, to make him fly the land? [...] Our fears do make us traitors." Ross rebukes her, replying that it was as likely his wisdom that made him fly: "You know not / Whether it was his wisdom or his fear." Lady Macduff challenges Ross, saying that wisdom doesn't abandon love, although fear leads to flight--and flight manifests only fear--and that flight that betrays reason shows no wisdom.
LADY MACDUFF. Wisdom! to leave his wife, to leave his babes,
...
All is the fear and nothing is the love;
As little is the wisdom, where the flight
So runs against all reason.
After Lady Macbeth laments that Macduff is dead (as she assumes must be the case and as she metaphorically asserts to be the case: he is a traitor to lie about his love then to betray her, and traitors die) and that his son is fatherless, Ross, asserting that it would be his "disgrace" to stay (since she is asserting what Ross believes to be untruths about Macduff), quickly takes his leave. She and her son debate his fatherless state, ending with the son's claim that Macduff is not dead (thus not a traitor by her own argument): "If he were dead, you'ld weep for him: if you would not, it were a good sign."
Upon this note, the Messenger, a person unknown to Lady Macduff, walks in and apologetically delivers a warning message to her, advising her to take her children and leave. The use of the word "doubt" indicates that he feels unsure about whether danger approaches or not. His suggestion of advice, "If you will take a homely man's advice," underscores his feeling of uncertainty: if he had been certain that Macbeth could have fallen so low as to order the deaths of lady and children, his "advice" would have been more in the form of a command, whether he was known to her or not. Still demurring, he regrets being "savage" by causing her fright, then begs for her preservation and hastily departs. His actions speak louder than his demurring because, in the end, he "dare abide no longer," giving the proof to his encroaching conviction that Macbeth could indeed have been bent so far as to murder a whole family.
Messenger. Bless you, fair dame! I am not to you known,
Though in your state of honour I am perfect.
I doubt some danger does approach you nearly:
If you will take a homely man's advice,
Be not found here; hence, with your little ones.
To fright you thus, methinks, I am too savage;
To do worse to you were fell cruelty,
Which is too nigh your person. Heaven preserve you!
I dare abide no longer.
Exit
Astounded and bewildered, she puzzles aloud over where she has to go to and why she has to go, concluding that to do "no harm" is inadequate when "to do harm / Is often laudable" and to "do good sometime [is] / ... dangerous folly." It is at this moment, while Lady Macduff is caught in the grip of a cruel conundrum without answer or solution, that the murderers walk in looking for Macduff (but under Macbeth's orders to kill "His wife, his babes, and all unfortunate souls" who abide in Macduff castle), asserting that he is a traitor (which Lady Macduff asserted earlier to Ross, although--when compared to the murderers--clearly in a more philosophical or metaphorical vein). Young Macduff, after having loosened his tongue up through witty exchange with his mother, shouts out in his father's defense: "Thou liest, thou shag-hair'd villain!" His reward--and the last thing that happens to him in this scene--is to be slain by stabbing and accused of "treachery": "[Stabbing him] Young fry of treachery!" In a bitter death scene, he has time before he dies to cry out to his mother, "He has kill'd me, mother: / Run away, I pray you!" The last thing that happens to Lady Macduff is that she runs off "crying 'Murder!'" with the murderers in deadly earnest pursuit after her.