Mary is present when Espella apparently uses the magic spell Ignaize to kill the two robbers Muggs and Robbs. She picks up a bottle of milk that was dropped by Espella so it wouldn't go to waste. It alter turns out the bottle contains Kira's glasses, which are a vital piece of evidence.
Her name comes from the song "Mary had a little lamb", even though her "lamb", Snowy, is actually a goat. This is lampshaded in the special episode "At the Market", when Mary complains that the developers couldn't even give her a name that made sense.