Cheryl beat me to it. :)
When my son was young (6 or 7 months old?), I could not go through a drive thru window. The speakers (when the people would talk) made him scream and cry. I don't think it was because he didn't understand where the voice was coming from either, b/c he would be asleep and wake up from them talking to me and start crying/screaming. It just "grated" on him I guess. He is still very quick to mention that noises (too many people talking at once, too many different types of sounds --music, talking, and something tapping, etc) are very distracting to him. He will get angry with his sister for singing when he is trying to do homework. He is just very aware and quickly overloaded by certain or too many sounds. He is a normal child. No hypersensitivities or anything. It just doesn't take as much for him to be bothered as for some people.
Maybe your baby is like that. It might be the flourescent lighting, the weird height/appearance of the ceilings (the warehouse ceiling that is WAY up high above, and she's looking up from a car carrier, probably, right?), or some odor in the stores, or too many sounds, just too much stimulation.. you just never know. My son would go into "shut down" mode as an infant (under 2 months) and go to sleep if we went out to eat in public. My daughter never did that (we assumed she would, and hoped she would, but she didn't!). And she is not sensitive to too much noise/stimuli like her brother.