First, you will want to add the User Detail object. This can be found under Select Objects, by expanding Constituent Information.

user detail under constituent information

You will want to add this to the User Base that you wish to filter. For example, if you want to filter by male students, add User Detail to the User Base that represents Students.

In the Filters tab, you will need to set User Detail.Gender to "starts with" and type either F or M depending on if you are filtering for males or females.Then, click Select to save.
For example:

filter user detail.gender to starts with F or M

In the above example, the list will be filtering for Females.