Final answer:
Macbeth is confused because he knows the current Thane of Cawdor is alive, making Ross's claim appear impossible, especially since the witches' prophecy is beginning to unfold mysteriously.
Step-by-step explanation:
Macbeth is confused when Ross tells him he is now Thane of Cawdor because at that point, Macbeth is aware that the Thane of Cawdor is still alive and well, and is, therefore, a "prosperous gentleman." This information comes shortly after the three witches prophesized that he would become Thane of Cawdor and then king. The proclamation by Ross seems to confirm the first part of the witches' prophecy, which bewilders Macbeth as he cannot fathom how the witches' prediction could be coming true. His confusion is compounded by the fact that he had not done anything to earn the title, and the notion of regicide (killing the king) had already begun to form as a horrible imaginings in his mind, suggesting a darker path forward.