Last night, Kathryn Bigelow made history by becoming the first woman ever to win the Oscar for Best Directing for her film The Hurt Locker. Will that fix all problems and difficulties female directors face in Hollywood? No. But it's a big step, nevertheless.
For more info on how to support female filmmakers, I highly recommend the site Women and Hollywood, which is chock full of news, film suggestions, and other stuff about, well, women and Hollywood.