The plural is mesdames if you use madam to mean 'my lady'.
In French, the plural of madame ("mah-dahm") is mesdames ("may-dahm"). As for English, I have never seen Madam used in the plural, but my dictionary says it used to be used with the spelling and...
It can be madames, madams OR mesdames, actually.
The plural of madam is madams.
mesdames.