Macduff first appears in Shakespeare's Macbeth in act 1, scene 6, when King Duncan arrives at Macbeth's castle at Inverness with his entourage, including his sons, Malcolm and Donalbain, and Banquo, Ross, Angus, Lennox, and Macduff. Macduff has no lines in the scene and is only distinguishable from the others in Duncan's company because he is the only character who has not yet appeared in the play.
When Macduff next appears in the play, he's one of two people (the other being Lennox) who are knocking loudly on the door of Macbeth's castle during the "Porter scene" at the beginning of act 2, scene 3, on the morning after Duncan's murder.
The Porter admits Macduff and Lennox into the courtyard of the castle, and the half-drunken Porter tells Macduff some low-brow jokes until Macbeth enters the scene.
Up to this point in the play, Shakespeare has portrayed Macduff as a likeable enough character, a trusted aide to Duncan, and Shakespeare gives the audience little more information about Macduff even at this point.
Macduff tells Macbeth that he was tasked by Duncan with getting Duncan up in the morning, and Macbeth points Macduff in the right direction.
When Macduff returns from Duncan's bedroom, he seems truly shocked and dismayed at what he's seen. Macduff is a soldier who has no doubt seen dead and wounded combatants on the battlefield, but Duncan's murder must have been more horrific than anything he's seen before to warrant such a reaction.
MACDUFF. O horror, horror, horror!...
Approach the chamber, and destroy your sight
With a new Gorgon. (2.3.66, 76–77)
Macduff calls for the alarm bell, and the courtyard gets crowded in a hurry. Lady Macbeth appears, followed by Banquo. Macbeth, Lennox, and Ross return from Duncan's bedroom (although it's not clear when Ross joined Macbeth and Lennox to look in on Duncan's death scene), and soon Duncan's sons, Malcolm and Donalbain, also arrive.
Macduff tells Malcolm and Donalbain that their father has been murdered. Malcolm asks to know who killed him, but Macduff gives no answer to his question. Lennox responds that it was probably Duncan's own guards who killed him.
Macbeth then says, "O, yet I do repent me of my fury, / That I did kill them" (2.3.117–118).
This piques Macduff's interest and might explain why he didn't answer Malcolm's question. Macduff then asks his own question.
MACDUFF. Wherefore did you so? (2.3.119)
Macbeth responds with a lengthy explanation of why he killed the guards that makes Lady Macbeth very nervous (it doesn't fit chronologically with the story of Macbeth discovering the murder along with the rest of the men in the castle), and she pretends to faint to draw attention away from him.
Macduff says nothing more in the scene until he agrees to meet with Macbeth, Banquo, and the others in the great hall in the castle to discuss the murder and what they should do next.
In this scene, Shakespeare brings Macduff face-to-face with the man who will prove to be his brutal, ruthless, cold-blooded adversary through the rest of the play. Nothing happens between them in this scene, but the stage is set for significant conflict between them.
After this scene, the audience is likely left with a perception of Macduff as a very decent, honorable, down-to-earth man who is caught up in the unfortunate and horrendous situation of his king's murder.
The audience also likely has the impression that Macduff suspects that Macbeth, and possibly Lady Macbeth, was involved in Duncan's murder.
Even in the chaos of the aftermath of Duncan's murder, Macduff didn't fail to notice that both Macbeth and Lady Macbeth exhibited odd and inappropriate behavior. Lady Macbeth seemed much more concerned with a murder happening in her home than with the circumstances of the murder and the person who was murdered.
Macbeth's killing of the two guards was unnecessarily reckless. Macduff immediately questioned him about it, and it's unlikely that Macduff is convinced of Macbeth's reasons for impulsively killing the guards.