The answers above are not correct. Magnetic fields pass through all materials. Indeed rather than not passing through mu-metal magnetic fields pass through mu-metal better than any other material.
Magnetic shielding is achieved by using a highly magnetically permiable material like mu-metal to divert the field around the area to be shielded.
There are basicly two types of material when it comes to magnetism. Paramagnetic where the magnetic domains in the material align with an external field. And diamagnetic where the domains align in the opposite direction to the external field. Most materials are diamagnetic.
Ferromagnetic materials are extreme cases of paramagnetism.