Welcome to the forums and the ever exciting world of budgie ownership!
You have certainly come to the right place as you will find all you need to know on budgie care here.
Since you are new to budgies, the information on the articles and sticky threads will be extremely useful as you become more acquainted with the species.
Be sure to pay extra attention to the Diet and Nutrition and the Taming and Bonding sections of Talk Budgies.
To answer your question, your budgie's reaction is perfectly normal. She is showing excitement over the budgie singing and she is also likely looking for the source of the singing in hopes of seeing some budgie friends.
To help your budgie to better settle in her new home and environment, you can cover the cage on 3 sides (leaving the front part of the cage uncovered) and have some background noise on for her. You don't necessarily have to play budgie sounds as this can make her feel agitated and confused/sad for not being able to see the budgies that are singing. Instead, you can have some music on or just the standard background sound from a TV show.
My birds love to sing along the TV or radio and yours will also react positively to it.
Best of luck with your new budgie friend!