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In the sixteenth century, people believed that illness, including and perhaps specifically psychological illnesses, were caused by an imbalance of humours in the body. The humours related to combinations of heat-cold and dry-wet.
It may be that Macbeth is suggesting that he has a "choleric" disposition (ie hot and dry) which would be characteristic of leaders kings and generals. To be "oppress'd" by a choleric humour, that is to have an imbalance of humours, would suggest that he has become overly angry, vengeful. The fantasy of the dagger that macbeth thinks he sees, the hallucinations would all be consistent with such an imbalance.
The phrase comes from the end of Act II scene 1, where Macbeth ponders killing Duncan. He clutches a dagger, and proceeds to consider and examine his thoughts about murder, the dagger itself becoming the physical embodiment of the act. He then questions himself, "Is this just a dagger, or is this murder?" Or in other words, "am I really going through with this act?" and these heavy thoughts cause and continue to cause more heavy thoughts, originating from a "heat oppressed" (headache?) brain.
Later in the soliloquy, he mentions the phrase "heat of deeds," heat in the passage suggesting passion; he's therefore not thinking logically, but reacting emotionally to the murder he's about to commit.
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