You do have lots of great suggestions here. My suggestion is not to make a big deal in a negative way, but make it positive like many women suggested. I think it's great she asked keep the communication open by not shutting her down or out. I think you know your daughter best, and some will sneak (as mentioned in other posts) if they are restricted from doing anything because for some it does make them feel different or left out.
I really like the suggestion on taking them to a make up counter. In fact, I would go to one or a friend who sells make up and let them explain the importance of the not sharing the make-up because as a parent they think you are being overly cautious on that one and probably won't listen. But as Linda W. said if someone else explains the importance of not sharing it will mean more.
Make it an adventure and enjoy the fact that she is growing up and wanting some independence. This is all a natural progression. Explain how make-up can make you look good/natural or cheap, etc.
Anyway, I think things become issues when parents overreact. This is what my daughter told me. She often didn't want to tell me things because I'd immediately be like no you can't do that, and I don't want you hanging out with that person again. If we listen and don't judge and let our children know we trust them to make good decisions I think they do better than when we try to control. I learned that the hard way!!
I mention the above, because make-up is just the beginning you will have many questions that are much harder than this, and how you react will determine how close your relationship stays.
I wouldn't do anything behind my husbands back, but make him understand how this is a natural progression into adulthood. Maybe the three of you talk about it together. She can explain how she feels and why she wants to wear it, maybe if your husband hears her side from your daughter he will be more apt to listen.
Take care,
K.