More and more women are joining the ranks of gun owners and shooters (And there is a difference in the two). Firearms manufacturers are tapping into this market as never before. I can imagine that it would be hard for many women to pick a handgun if they haven't grown up around firearms or don't know any gun enthusiasts.
As a first step I would suggest deciding what the gun is going to be used for. Is it going to be strictly for home defense, concealed carry, etc? Is it going to fill both roles? If it's a CCW gun then how is it going to be carried?
Next set a budget and figure in all of the extras that will be needed such as a cleaning kit, holster (If for CCW), extra magazines, speedloaders and most of all ammo and range time.
Decide between buying a revolver and semi automatic. How much experience you'll get should factor into the decision. Revolvers are generally easier to operate and more instinctive. They usually are more reliable out of the box and require less care. Some semi autos may be picky about ammo or magazines. On the other hand about 70% of new handguns produced are semi automatics so there's more to choose from. Some will also be less expensive than revolvers.
Pick a caliber that will work for you. I don't like anything smaller than 9mm or .38 Special for self defense but there's a huge market for .380 pocket pistols right now and they can be hard to beat for concealability.
Firearms novices will generally ask a male friend or family member for advice when buying a handgun. This is good and bad. It's always good to get advice from someone experienced but men often forget that they are helping a woman find a gun that's right for THEM. There's a lot of crossover in handguns and most will work well for a man or woman but there are a few things to look for when a woman is buying a gun.
When shopping for semi automatics it's important to check out the grip. Women generally have smaller hands then men and some pistols have very wide grips. This is especially true of those with high capacity magazines. A Beretta 92 may not fit a woman's hand as well a XDM or even a M1911 might.
Basically find a handgun with a grip that feels right. Bear in mind that if the gun has a steel or aluminum frame you can usually find aftermarket grip panels for it and at least one manufacturer makes thinner replacement grip panels in aluminum. If you really like a pistol but the grips are slightly too wide you may be able to fix that issue.
On the other hand a lot of the polymer framed handguns today have changeable backstraps that can be swapped out for different hand sizes. Most of the major handgun manufacturers have at least one or two models with this feature. I will say however that earlier polymer frame pistols were expected to be, "One size fits all" and while you could always find a slip on sleeve to make the grip larger it was very hard to make it smaller without finding someone to alter the grip ($$$).
Make sure that you can reach the pistol's controls (Safety, magazine release, slip stop) easily. If they are overly stiff or in an awkward location then you should probably look around a bit more. I remember buying a Bersa 383A many years ago that had a safety lever that was so stiff that it took two hands to move it. It took a few weeks of flipping it off and on to get it loosened up enough to work with just a thumb. (BTW, make sure that the gun that you buy is right before leaving the dealer and don't assume that the one that you were looking at is actually the one that you're buying).
Check that you can easily reach the trigger and that it's not too heavy. There's a lot of different handguns on the market and a lot of difference in trigger pulls. A too heavy trigger pull will make you less accurate, tire you out earlier at the range and ruin your shooting experience.
How are the slide serrations? Can you get a good grip on them when racking the slide? How will they be when your hands are a little sweaty or oily? I once owned a Browning Hi Power that was a great gun except for the slide serrations. They were shallow and close together. They didn't give good traction and coupled with a heavy recoil spring it was almost impossible for my wife to rack the slide. This ruled this gun out for a shared home defense gun.
Can you load the magazine without too much difficulty? Some of the high capacity magazines can be hard to load once you get them over 10 or so rounds. This doesn't necessarily have to be a deal breaker as there are magazine loading tools available for most of the more popular pistols.
Revolvers are a bit easier to shop for but you still need to pay special attention to the grips and trigger pull. Ability to easily reach the trigger can also be a concern with revolvers. Bear in mind that most revolvers are double action so make sure that you can pull the trigger in double action as well as single action mode.
Make sure that you practice, build good habits and muscle memory. You'll be under a great deal of pressure if you ever need to use your self defense gun. You don't want to have to slowly figure out how to load it, operate a safety or clear a malfunction.