Should I say something, or shouldn't I?

It all depend on what you really wish to accomplish a clean, street a clean conscious, or boost to your ego. Ask your self this : would you remark a beautiful model on the same "incident" , if you would then it does not matter what the model or the woman would have done because your perpus was just - you wanted something clean (environment or conscious). but if not well do not remark people on bad behavior just so you could feel good it will get you nowhere.

I'm not condoning her behaviour, but I've met many women (and men) who would never throw a just-finished cigarette in a trash can for fear of the small chance that it's not quite out and might start a fire. So, unless there was also a public ash tray designed for that purpose, that may have been her reason for "littering".

Well it depends on you...If you really want your place clean and for her to learn something then go said something but i must say that there are people who might not like it as they may get offended and tell you something you didn't like such as "It's not of your business." with some bad words...But its great to hear that theres someone who cares for our environment...

  Could you pick it up and set a positive example? 

Definatly you should have said something. Most places have fines for littering, and weither or not people notice it or not, throwing your cigarette butts on the sidewalk is littering. If you want people to start cleaning up their act and changing the way they treat the environment, definatly saying something will influence it. I mean, maybe you wouldn't have been the first person to say something, maybe you would have been the fourth or fifth person to say something to her that day. That certainly would influence weither she changed her ways or not. A lot of the time people just don't realize what they are doing.