Where is Macbeth going when he sees the bloody dagger?

When Macbeth sees the bloody dagger in act 2, scene 1, he is on his way to Duncan's chamber. The purpose of his visit to the chamber is to kill Duncan and take the crown of Scotland for himself.
Just before he sees the dagger, Macbeth is having second thoughts about killing Duncan. Although he wants to be king, he does not want to betray Duncan in such an evil and violent manner. The dagger, however, appears to be pointing the way to Duncan's chamber, and Macbeth interprets this as a sign that he must act before he loses his courage completely:

Words to the heat of deeds too cold breath gives.

We could interpret the dagger, therefore, as a physical manifestation of Macbeth's ambition. Specifically, his desire to be the king of Scotland.
After seeing the dagger and hearing the signal from Lady Macbeth, Macbeth proceeds to Duncan's chamber and kills him.