The Question and Answer section for Number the Stars is a great resource to ask questions, find answers, and discuss the novel.
Annemarie is frightened because she and Ellen are stopped by German soldiers while racing home from school. She is also upset by the fact that one of the soldiers tries to touch her sister's hair, and her sister slaps the soldier's hand away.
In Chapter Three, after Peter's visit, Annemarie realizes that Ellen and her family are Jews.... that they are in danger.
Then, suddenly, she sat upright, her eyes wide. "Mama!" she said. "Papa! The Rosens are Jewish, too!"
I believe she tells them to watch for tree roots on the trail.