Deliberate mistake: The dummy consumed in the fireball is much shorter than the actor it doubles for. (01:25:30)
Continuity mistake: When Melanie walks up the dock to Mitch's house there's a tower (to the left of her head) on the far side of Bodega bay. Two shots later a sailboat appears on the other side of the bay, slightly to the left of the tower, that wasn't there before. (00:21:55)
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: As Melanie plays the piano, the shadow of the picture of her father on the wall gets longer and shorter between shots. (00:36:25)
Continuity mistake: The position of Melanie's car has changed from when she first parked it in front of Annie's house. At first the rear wheels are adjacent to the steps, but later they've been moved back slightly so the front seat is adjacent to the steps for Annie to lean in when they speak. (00:18:10)
Continuity mistake: When Melanie explains that she can't go to the party because she has to go back to San Francisco, Cathy's right hand changes position between shots. (00:36:40)
Continuity mistake: When Melanie says to the store manager, "The little girl's name," a bunch of items appear to the right of the store manager, one named "Magic Puzzle," that weren't there in the previous shot. (00:14:35)
Continuity mistake: The stuff inside Mitch's barn is lit differently and moved between shots. (00:22:05 - 00:22:40)
Continuity mistake: The gas station fire in front of the pumps becomes much worse between shots as Melanie watches it from the phone booth. (01:26:20)
Continuity mistake: After Mitch and Melanie walk past the door that says, "Out to Lunch," look at the numbers on the front of the boat behind them you'll see that they change between shots. (00:26:15)
Revealing mistake: As Melanie drives up to Bodega Bay the birds are supposed to lean as the car goes around corners but the mechanism for the bird on the right gets stuck and reacts slower than the bird on the left. (00:11:00)
Continuity mistake: In the long shot as Lydia drives up to Mr. Faucet's farm the small structure in front of the building on the far right has four windows. As she parks the truck, we see that structure only has two windows. (00:58:45)
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: The number of pencils in Annie's pencil holder decreases throughout this scene without being touched. (00:42:25 - 00:46:35)
Continuity mistake: As Melanie and Mitch approach the restaurant there's a fence that they pass on the left before they get to the door. When we see this spot later in the movie the fence is not there. (00:26:25 - 01:26:15)
Continuity mistake: Before the birds fly out of the fireplace Mitch puts his napkin on the table to his right with the dark green side up. As the birds fly out of the fireplace the napkin has been flipped over to the light green side without being touched. (00:54:30)
Continuity mistake: Before the birds fly out of the fireplace Lydia sits on the couch and there are two pillows behind her a red one on the left and a green one on the right. She doesn't move from the spot but two shots later as the birds fly into the room the pillows are reversed. (00:54:25)
Continuity mistake: The house has only one gazebo and when the first bird swoops down at Cathy it flies over a different gazebo from the one we see later in the scene. The top is pointed and higher, and the correct one has a tree above almost touching it and shadows from the tree falling on it. (00:52:00)
Revealing mistake: As the children start running down the hill from the school a girl in a white dress and blue sweater is cracking up. (01:13:35)
Continuity mistake: At the house Mitch's white car is parked facing the water. When we see it later it's parked at a 45-degree angle to the water but he hasn't touched it. (00:21:20 - 00:23:35)
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.