First of all, he demonstrates his arrogance by demanding that the witches answer his questions. One might think Macbeth would express some humility or even cautiousness before these supernatural beings who have led him to a path of murder and corruption.
The first apparition tells Macbeth to beware Macduff. Macbeth should simply take this warning and heed it. Greedily, he asks for more. The apparition will give no more answers.
The second apparition tells Macbeth that he will not be harmed by a man given birth to by a woman. Macbeth ignores the first apparition's warning and says Macduff will be left alive. Macbeth assumes that Macduff is "of woman born" and is therefore nothing to be afraid of. But then he plans to kill Macduff anyway.
The third apparition tells him not to worry because he will never be defeated until the forest (Birnam Wood) comes to Dunsinane Hill against him. Macbeth doesn't think outside the box again. He concludes that such a thing could never happen. Macbeth expresses his pride (hubris) and arrogance here, believing that he can not be defeated. He is tricked into thinking this. Macbeth's usual attitude is based upon ambition and fear, but pride plays a larger role here.