Hi,
This is mine of line of work, so I'll try to be helpful.
A heart murmur is an abnormal 'whooshing' sound that you hear when you listen to the heart. Blood normally flows smoothly through the heart. If something causes it to become turbulent, you hear a murmur.
That being said, the variety of things that can cause the blood to flow in a turbulent way are so varied, (as you can already see from the previous responses) that there's really no way to know what's going on with your neice without any other information. They range from actual defects in the heart, to benign murmurs caused by nothing more than the angle blood takes in that particular heart.
There are some generalizations I can give you. /Most/ (not all, but by far most) murmurs in kids are benign. In fact, more babies than not will have a passing murmur in the first few days of life and the heart switches from it's in utero to ex utero configuration. Many murmurs come and go. For example, if it's caused by the blood flowing through an abnormally tight valve, you may not hear it when the blood is flowing slowly. But when the blood flows faster, if the heart is racing, for example, you may hear it. Many murmurs will also show up as babies get older. Perhaps that's why the murmur wasn't there in the NICU. The blood pressure in babies lungs decreases over the first severeal months, so sometimes if there's an abnormal pathway, the blood won't start flowing in that direction for a while.
If your neice was that premature, there's a good possibility she had an echocardiogram in the ICU for other reasons.
Hope that all makes sense. It's a really, really broad question.