I'm having a lot of trouble writing the thesis for this critical analysis of Macbeth essay (1500 words). The teacher has instructed us to use macro-level analysis, but I'm unsure how to even start. The question is: "The central issue of the play is the conflict between duty and desire. To what extent does this reflect your understanding of the play?"

A macro-level analysis just means to stay more broad in the analysis than narrow.  I like writing macro stuff more than micro stuff because it lets me use more than one character and more of the plot.  
Your prompt is a basic conflict analysis.  What's great about your prompt is that it even tells which conflict that you are supposed to analyze.  You are to analyze the duty vs. desire conflict.  I would stick with using Macbeth and Lady Macbeth for this analysis.  You could use additional characters, but you don't want to get too broad.  It will sound like rambling then.  
For Lady Macbeth, there isn't much conflict between duty and desire.  She chooses desire every time.  She wants more power and fame, and being the wife of the king will give her that.  Her duty is to honor her husband and her king.  She doesn't honor her king, because she plots to kill him.  She doesn't honor her husband either.  At one point Macbeth tells her that he will not kill Duncan, and she badgers him in to doing it anyway.  Macbeth is the character that really struggles with desire and duty.  It's what makes him a tragic hero according to various experts.  His rampant ambition is his tragic flaw.  Everybody has ambition, but Macbeth is unable to control his; therefore, he is willing to reap incredible violence on friends and rulers that he has a duty to protect.  
For your thesis statement, you could use a simple statement and reason thesis style.  Something like the following:  "The central conflict of duty versus desire is most clearly seen in the characters of Macbeth and Lady Macbeth."  That thesis states your opinion about the conflict being central and most evident in two particular characters.  Your job following that statement will be to prove it.