In Season 3 Shax killed Prue by throwing her through the wall after she tried to save Dr.Griffith. Piper and Prue were both thrown back into the wall to save Dr. Griffith but Leo came back to save them and before that. Phoebe was in the underworld with Cole and Leo. Phoebe asked the source to call Tempus to turn back time but it was to late when they got back to save Piper and prue. Leo came back to save Piper and Prue the second time and saved Piper but not Prue because she was already dead.
prue died by a lighting blast thrown through an wall by the sources assistant shax in theseason 3 finale episode all hells breaks loose and her funeral was shown in the 4th season premiere two parter episodes charmed again part 1 and 2