Continuity mistake: The gas station attendant is standing on a red hose as the bird hits him. The next time we see him he's out cold but the red hose has been neatly wrapped up even though no one went near it. (01:24:35)
Continuity mistake: As Melanie and Mitch walk down the hill Annie and Cathy are standing in the middle of the yard with two other children between them and the lounge chair. In the next shot as we see Lydia carrying the cake, the two children disappear and Annie and Cathy have moved to the left closer to the door. (00:51:35)
Continuity mistake: As Lydia runs into the house with Cathy, we see a black light fixture between the window and door the that wasn't there before when she brought the cake out. (00:52:55)
Continuity mistake: The last piece of wood that Melanie hands to Mitch is not the same one that he grabs. The end is split and doesn't have a prominent knot in it but when Mitch grabs it there's no split and it has a large knot in it. (01:34:20)
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 runs inside the phone booth a black device has appeared above the telephone. In a previous shot as Mitch runs to help the gas station attendant we see inside the phone booth and that device is not there. (01:26:15)
Continuity mistake: When Mitch puts the mirror up against the front door the light fixture above his head goes from being perfectly still to swaying wildly between shots and he didn't touch it. (01:43:35)
Continuity mistake: As Mitch lifts Annie's body to take her inside the house two black rags or shreds of her clothing appear on the porch that weren't there in a previous shot. (01:31:45)
Continuity mistake: At the gas station fire the two fireman that lose their grip on the hose disappear between shots. (01:27:00)
Continuity mistake: As the birds start flying around the room Lydia gets up and the green pillow behind her is on the left and the red pillow is on the right. When Mitch overturns the table the red is on the left and the green on the right. (00:54:50)
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: After Mitch ties the shutter closed both sides of the window look identical with each shudder being seen through the window, but as he walks back into the living room just before the lights go out the left shutter is the same and the right shutter is black. (01:44:05)
Continuity mistake: As Lydia looks through the window of Mr. Faucet's kitchen there is a distinct pattern on the wall to her left. As she comes through the door the pattern on the wall is different and she's in a different room. (00:59:35)
Continuity mistake: The interior of Lydia's truck (especially the roof) changes when they show the close-up of her driving. (01:00:55)
Continuity mistake: In the very last close-up of Mr. Faucet's face the right side of his collar has been changed from the previous shot. It's now tucked under his shirt. (01:00:30)
Continuity mistake: As Lydia walks up to Mr. Faucet's door she takes off her right glove and puts it in her left hand. Her right hand is empty and she uses it to open the door but when she comes through the other side of the door, the glove is in her hand again. (00:59:25)
Continuity mistake: You can tell by the shadows on the wall that the headboard of Lydia's bed is pushed up further against the wall in the overhead shot. (01:04:00)
Continuity mistake: As they talk in her bedroom and Lydia says, "Do I sound very foolish to you?", the pillows behind her are propped up differently between shots. (01:03:15)
Continuity mistake: As Melanie runs to Annie, the pile of papers on the left of her desk changes between shots and a blue booklet appears on top. (01:12:00)
Continuity mistake: In the close-up shots of the party scene the grass is much greener than in the wide shots, where some brown is mixed in. (00:52:30)
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.