The first stanza presents the basic thesis of the entire poem - the speaker is free in his mind and spirit to remember his love and his lover, even as his body is confined in prison. So long as his thoughts can recall and imagine her presence, he is freer than the birds flying wherever they wish.
In the second stanza, he compares his freedom to the fish "that tipple in the deep." He can imagine all the wonderful wine he wishes, with no ill effects to his health from the alcohol and no penalty as a result of any toasts that might be dedicated to someone who may not be approved by the authorities.
The third stanza specifically sings the glory and virtue of "my King." Even in prison because of his royalist beliefs, he remains loyal and declares "The sweetness, mercy, majesty, and glories of my King."
In the fourth stanza, the speaker explains that the prison is his "hermitage" - a place of quiet and isolation where he can concentrate on appreciating what he does have; the freedom of intellect to appreciate his love of Althea and the liberty of his soul and beliefs.