These lines are spoken by Macduff at the very start of Act IV, Scene 3. He is talking to Malcolm. The two of them are in England where Malcolm has gone to try to get help to take Scotland back from Macbeth.
What Macduff is doing here is telling Malcolm how bad things are in Scotland. He is telling Malcolm that Macbeth has been doing all this bad stuff. Specifically, in these lines, he is saying that Macbeth is killing many people. That is why there are new widows and new orphans every morning.
Macduff crossed over to England to meet Malcolm who had taken asylum in the court of the English king after the murder of his father, King Duncan. Macduff's intention was to convince Malcolm about the dire need of raising a military campaign against the wholesale tyranny unleashed by Macbeth, and to urge the legitimate heir to the throne of England to lead the said campaign.
However, Malcolm expressed doubt as to the bonafides of Macduff, and pretended that he would be a worse choice than Macbeth. The quotation is part of Macduff's comments on the reign of terror as let loose in Scotland by Macbeth. It means how the tyrant resorted to random and wide-spread violence. As Macbeth went on killing men, new widows who lost their husbands and orphans who lost their fathers howled and cried in great agony and helplessness. Such foul crimes committed in the world of man also struck the world above with deep sorrow. Macduff's words are charged with profound anguish and authenticity of emotions.