I agree, he needs to go to HR or the woman's supervisor and explain that she continues to pursue him despite your husband having told her several times he's not interested and is happily married.
Lastly, I've had a guy at school that is continually making me feel uncomfortable with his advances. When I told my husband, at first, he made jokes and said he'd flirt with me and stare at me too. Then the guy started leaving his number at my desk if I had to get up for something. He started going out of his way to get closer to me. He showed up to my college on a Saturday and sat outside the door. My husband finally realized why I was so uncomfortable.
Please, support your husband and don't just keep laughing about it. Encourage him to go report her. Tell him that you love him and you're sorry that she's acting like this. Whatever you decide to do, you should support him and not act like it's nothing and blow it off.