Continuity mistake: After dinner with Mitch, Melanie walks into Annie's apartment and between shots the shadow of Annie's head appears out of nowhere against the wall. (00:41:05)
Continuity mistake: As Melanie walks into Annie's apartment we see the front door behind here to the left. Before the door had a shade on top of it, this door is different and doesn't have a shade or a space for it between the curtain and the window. (00:41:10)
Continuity mistake: When we first see the three-branched lamp to the left of Annie's couch one branch is facing the camera and two are behind the lamp. Now, as she sits sipping her brandy the lamp has been reversed with the lone branch in the back facing the wall. It's much easier to see if you look at the branch in the lampshade. (00:41:10 - 00:43:30)
Continuity mistake: The lamp directly behind Melanie as she sits down is turned off. In the next shot when Annie brings in the brandy it's turned on. (00:41:25)
Continuity mistake: As Melanie and Annie talk, you can see the purple pillow that she was just laying on as Melanie came in squished into the corner of the couch. Later that pillow has been fluffed up without her touching it. (00:41:25 - 00:43:00)
Continuity mistake: After Annie pours Melanie a brandy the upper part of the wall behind her and to her right darkens considerably between shots and no lights have been touched. (00:41:40)
Continuity mistake: When Annie asks her how dinner at Mitch's went Melanie holds the glass of brandy differently between shots. (00:41:40)
Continuity mistake: As Melanie sits with the brandy, a lamp is behind her. When we see it a few shots later as she sits differently, the lamp has been moved forward. If she sat back in the chair the way she was before, she'd hit it. (00:41:55)
Continuity mistake: The number of pencils in Annie's pencil holder decreases throughout this scene without being touched. (00:42:25 - 00:46:35)
Continuity mistake: When Annie gets up and says, " I think I'll have some of that" her cigarette is half gone with a long ash on it. In the next shot as she fiddles with the brandy bottle her cigarette is brand new. (00:42:50)
Continuity mistake: When Annie decides to have some brandy also they cut back to Melanie and the lamp that was behind her disappears. We don't see it again until the end of the scene where it's been moved again. (00:42:55 - 00:45:30)
Continuity mistake: As Annie goes back to sit down on her couch she says, "Then one weekend he invited me up to meet Lydia". The silver box in front of the three-pronged lamp on her table moves between shots. (00:42:55)
Continuity mistake: When Annie capped up the brandy bottle the label was facing the camera and her glass was almost touching it. Later when she goes back to poor a glass for herself the label is turned 90 degrees and she has to reach for the glass. (00:43:00)
Continuity mistake: As Melanie and Annie talk about Lydia, Melanie never stops holding her drink with both hands but her necklace gets higher on her neck between shots. (00:43:55)
Continuity mistake: As Annie goes across the room to get an ashtray, you can see that the next room is pitch black. In a previous shot when she went to get the brandy it was lit up and she never touched a light switch. (00:44:10)
Continuity mistake: When Annie tells Melanie that she still likes Mitch a "hellava lot," watch the shadow of the fancy three-branched lamp to her left. As the phone rings, the shadow of the power cord against the wall in the middle of the screen disappears between shots. (00:45:00)
Continuity mistake: Before Melanie gets up to talk to Mitch on the phone her necklace has been rearranged between shots so that it now hangs lower around her neck. (00:45:05)
Continuity mistake: As Melanie picks up the phone to talk to Mitch the shadow of the cord falls on different areas of her jacket between shots. (00:45:40)
Continuity mistake: As Melanie talks to Mitch the stack of magazines on the desk are straightened up and moved to the right between shots. When we first see them as Annie sits behind the desk smoking her cigarette they're not stacked evenly. (00:45:45)
Continuity mistake: As Annie listens to Melanie talk to Mitch, the rabbit ears on her television and the light switch to the right of it are dark. At the beginning of the scene they were lit up. (00:45:50)
Answer: It is never explained, probably because it would ruin the mystery of the film to spell it out.
If you are a Hitchcock fan, you pay attention to dialogue. They mention quite often that it started Melanie's arrival, of which she brought 2 caged birds. The rest is implied.