In this quote from Act I, Scene VII, Lady Macbeth is trying to rouse Macbeth and encourage him to overcome his nerves as he thinks about murdering King Duncan. To do this, she uses a metaphor that can be interpreted in a number of ways. She may be comparing Macbeth's courage a musical instrument in which the peg must be tightened or wound up until it sticks into place. Conversely, Lady Macbeth might be making a reference to war: specifically, the tightening of a soldier's crossbow before he fires his arrow.
In addition, this metaphor might allude to the act of sexual intercourse. The word "screw," for example, certainly has sexual connotations. So, in this understanding, Lady Macbeth is telling Macbeth to be a man about it; to stop being a coward and kill King Duncan.
Arguably, Lady Macbeth's metaphor is so effective because it works on so many levels. Furthermore, it really is effective: shortly after, Macbeth goes ahead with the murder.
Lady Macbeth is trying to bolster her husband's courage because he is hesitant to kill King Duncan. He asks, "If we should fail?" Her response is a pun because it offers two meanings. She is telling him to focus his attention ("screw your courage") on killing the king by her reference to the "sticking place," the place the knife will enter his body.
"Screw your courage" can also metaphorically mean to anchor his courage as if he were taking a screw or nail to hold it in place; this place can be a "sticking place" because it will hold his courage like a screw will hold something attached by it. "Screw" also means to force or contort something to a distorted shape, the shape his courage needs to stick (knife) Duncan.
Above all, Lady Macbeth does not want her husband to hesitate or question the plan further. Duncan will spend only one night at Inverness; they have only one opportunity to eliminate him. Macbeth must be brave.
FOcus in killing Duncan