Mrs. Mallard's immediate reaction is logical. Hearing the sad message from her sister Josephine, she starts crying right away and then retires to her room and asks to be left alone.
However, that's where something totally unexpected happens. After sitting motionless, sobbing for a while, Mrs. Mallard begins to whisper to herself a surprising word: "Free, free, free!"
The answer is: She cries and goes to her room.