Because that's how Czech word order works. What you put at the end of the sentence is called the focus - i.e. new information, while at the beginning of the sentence you have the topic - i.e. something previously mentioned which you now build upon - in this instance probably answering the (implied) question "Kdo je vede?" (Who leads them?). "The woman" with the definite article can't obviously be new information, while "a woman" certainly is.
"The woman leads them" (or "...is leading them.") would be "Ta žena je vede." - Not only would "žena" come first in the sentence, we actually need the demostrative "ta" here, because "Žena je vede." sounds like "My wife leads them."