As far as I've ever been able to tell (and I'm by no means an expert on the matter) it means that they are flattered that you show interest in them and want to know who to thank (or beat up) whoever gave you their number.
Really though, did she ask how you how you got the number in a smart-alecky tone or just an inquisitive one? That's important.
What did you say after she asked the question? Did you answer the question? What did you say?
Her saying, "That's nice" doesn't necessarily mean she's not interested, it could just mean that she isn't sure about your intentions and wants to see where you go with the conversation after that.