"Exactly how can you be convicted of lying to cover up a crime, when you were found INNOCENT of the crime?"
Under Federal Law, there apparently does not need to be any "crime" to "cover up" for someone to be found guilty under the statute. According to the United States Code -- 18 USC 1001:
"(a) Except as otherwise provided in this section, whoever, in any matter within the jurisdiction of the executive, legislative, or judicial branch of the Government of the United States, knowingly and willfully -
(1) falsifies, conceals, or covers up by any trick, scheme, or device a material fact;
(2) makes any materially false, fictitious, or fraudulent statement or representation; or
(3) makes or uses any false writing or document knowing the same to contain any materially false, fictitious, or fraudulent statement or entry;
shall be fined under this title or imprisoned not more than 5 years, or both."
The statute does not have any explicit requirement that there be any underlying crime or that the person found guilty of making a false statement even be the one accused of an underlying crime if there were one. Thus, it is concievable that some third party who had nothing whatsoever to do with the stock transaction, say a friend who was asked by government agents about Martha's whereabouts the day before the stock transaction could be found guilty under 1001 if she lied and the fact she lied about was material.
Or say there was a assault and a friend of the accused liies about the accused's whereabouts at the time of the assault to federal agents -- though not accused of assault himself, that person might be subject to 1001 penalties.
Moral -- don't lie to federal authorities (and get good legal counsel, of course). In fact, saying nothing may be an alternative to attempt to avoid penalties under 1001 (although there perhaps might result in some sort of obstruction of justice claim).
In Martha's case, some press accounts suggest that Martha's attorney who represented her during her interview with the federal authorities perhaps did not (and perhaps could not) spend a great deal of time with her to prepare her for those interviews.
It is unlikely Martha could have kept silent or avoided a "voluntary" interview because of the negative business effect such a refusal may have had. An issue at trial was what actually was said during the interviews -- Martha and her counsel made no provision to have them recorded either stenographically or by videotape and some legal commentatotrs have suggested that was an oversight. It is standard pactice for an attorney preparing witnesses to testify under oath to remind them to tell the truth -- here, it may have been possible for Martha's counsel to have advised her that her actions relating to the stock sale were unlikely to form the basis for a credible claim of any violation of US Securities law (as the prosecutions inability to prevent Judge Cederbaum from throwing out their theory of securities laws violations suggests) -- Martha may then have not felt any need (although her feeling the need to do so is just speculation) to conceal/massage/hide/etc. the truth, because there was nothing really substantive to fear in relation to securities law violations.