A great place to begin a research paper is with background information on the topic. In this case, it would be beneficial to know more about events in history at the time the play takes place, events in history at the time the play was written, and detailed descriptions and insight into the characters. Below are two of my favorite eBook chapters for background on Macbeth. These are just samples, so please search the databases for additional content.
From: World Literature and Its Times: Profiles of Notable Literary Works and the Historical Events That Influenced Them (Vol. 3: British and Irish Literature and Its Times: Celtic Migrations to the Reform Bill (Beginnings-1830s).