hampton.mc is correct ("... qu'elle voulait être prise dans les bras" ?) if it's a little girl (child) wanting to be taken into an adult's arms (without any sexual overtones).
But "to pick someone up" can have at least two other meanings:
(1) to win someone over (for sex), e.g. "We went to a bar last night, had a few drinks, and picked up these two girls." - this COULD be the meaning in the example in this thread.
(2) to collect someone in a vehicle, e.g. "Give me a call when your train arrives. I'll come and pick you up in the car."