Thanks for all your input guys.
Arrow - I kind of agree with you that they're not necessary. But I think they can sometimes be helpful if you want a more enclosed space to work on lunging and other groundwork. It's actually pretty large.
Chiefie - Yes, its in a huge paddock, where other horses are. I think she might just be wanting to go with them, and doesn't like the fact that she's enclosed and seperated from them.
Delete - I can't really turn her out for a long period of time in there because my BO wouldn't really like it. Plus, there's no grass and I'll feel like I'm putting her in the cage.
I think that I just need to do more work with her in there, to get her used to it. I'm not really too worried about it though because I usually just lunge her in the riding arena. Thanks for all your help guys!