One place to start, though it's pretty dated now, is the filmographies
at the back of WOMEN AND THE CINEMA: A CRITICAL ANTHOLOGY, ed. Karyn Kay
and Gerald Peary (Dutton, 1977).
 
There is some discussion of Dorothy Arzner, Ida Lupino and Maya Deren, et al.,
but of course it cannot cover the women who have been coming into film in
the last two decades such as Penelope Spheeris, Martha Coolidge and Susan
Siedelman.
 
Also, don't overlook tv.  There seem to be a rising number of women and
minority directors in the medium.
 
--Don Larsson, Mankato State U., MN