In this scene it is the 'celebration' of Hitler's Birthday and to acknowledge what he has done for Germany via burning all the books that are "anti-German".
Leisel sees a book laying on the ground that has just been burnt but isn't in bad condition. She makes sure no one is around so she can steal the book.
Leisel builds up the courage to pick up the book and then realizes that there is a person coming around the corner and she stays as still as a statue in hope no one catches her. She doesn't realize that the mayors wife catches her in the act.