The menu volume control and the volume keys on the keyboard both control the default system audio volume. On a Mac, it will typically change the default to a USB device/headset when it's plugged in, and revert to the built in speakers when unplugged. Web browsers tend to use the default audio device.

How was she playing back the MP3 files? An app like iTunes can use a non default audio device. When a non default device is picked, it's volume control is separate from the system default volume control For example I can have my iTunes app play music to my remote speakers in the living room. When I do this, the system volume control doesn't change the volume in the living room, but iTunes does offer a different slider that lets me change the living room volume.

That's my guess about why it would play MP3 files while the system volume was muting videos.