How can I make sense of the play Macbeth?

One way to help make sense of this play is to look at the resources located on this site. If you are struggling (as many students do) with Shakespeare's use of language, you'll find an annotated version here, and if the problem is understanding the plot, there are an abundance of summaries, critical essays, thematic analyses, and other reading and study aids right here. 

Beyond that, one thing I can suggest to help you understand the plot of the play is to focus on the way that the most important characters--Macbeth and his wife--are transformed throughout the play, and the events that cause the changes in their lives. Macbeth, as you'll remember, is a respected Scottish noble at the beginning of the play, but as soon as he encounters the witches and hears their prophecy, he is consumed by ambition, and he is willing to listen to them, and his wife, because they continuously push him (in very different ways) to carry out the bloody deeds that get him in power. By the end of the play, he is a murderous monster. His wife, on the other hand, begins the play as a ruthless, ambitious woman, but guilt for her role in the murders consumes her, and she is a broken woman by the end of the play. So watching the evolution of the characters, and looking at the events that drive them toward their doom at the end of the play, is how I've gotten the most out of the play.