"I know I am thane of Glamis. But how of Cawdor? The thane of Cawdor lives." What does Macbeth mean?

This is a case where the audience knows something that Macbeth does not know. In Act I, Scene 2, King Duncan tells Ross:

No more that Thane of Cawdor shall deceiveOur bosom interest. Go pronounce his present deathAnd with his former title greet Macbeth.

Duncan revokes the present Thane of Cawdor's title even while the traitor is still alive. It takes Ross some little time to reach Macbeth with the King's pronouncements. In Act I, Scene 3, Ross encounters Macbeth on the heath and confirms what the three Witches have already told him. The Witches must have had supernatural powers to be able to make that prediction. This seems to make their third prediction, that Macbeth would become king, more plausible.
In Act I, Scene 3. when the weird sisters greet Macbeth as Thane of Glamis, Thane of Cawdor, and king hereafter, Macbeth tries to stop them from leaving. He says:

Stay, you imperfect speakers, tell me more.By Sinel's death I know I am Thane of Glamis;But how of Cawdor? The Thane of Cawdor lives,A prosperous gentleman; and to be KingStands not within the prospect of belief,No more than to be Cawdor. 

A bit later in the same scene, Macbeth will encounter Ross and Angus, and Ross will deliver the King's message that Macbeth is pronounced Thane of Cawdor. Macbeth protests:

The Thane of Cawdor lives. Why do you dress me,In borrowed robes.

And Angus will confirm what Ross has just told him:

Who was the thane lives yet, But under heavy judgment bears that lifeWhich he deserves to lose.

Shakespeare has two men deliver the King's message so that there will be no doubt that Macbeth has immediately become the Thane of Cawdor. What really surprises Macbeth is that these three weird sisters could know about it so far in advance. And if they had some supernatural knowledge, then their prediction that he will "be king hereafter" is the most astonishing and disturbing thing of all. Macbeth says to himself:

[Aside.] This supernatural solicitingCannot be ill, cannot be good. If ill,Why hath it given me earnest of success,Commencing in a truth? I am Thane of Cawdor.If good, why do I yield to that suggestionWhose horrid image doth unfix my hairAnd make my seated heart knock at my ribs,Against the use of nature?  

While it was not necessary for Macbeth to become Thane of Cawdor in order to advance to the throne, the fact that the weird sisters know about it while the present Thane of Cawdor is still alive is persuasive evidence that their other prophecy will also come true. In Act I, Scene 5, Lady Macbeth will receive a letter from her husband which she will read aloud. Part of the letter reads:

Whiles I stood rapt in the wonder of it, camemissives from the King, who all-hailed me ‘Thane ofCawdor’; by which title, before, these weird sisters salutedme, and referred me to the coming on of time with ‘Hail,King that shalt be!’