I don't know much about women directors but over on the All Movie Talk pages there was a discussion of top directorial debuts and in a list of 34 debut movies, there wasn't a single female director, so I made the following list of some female debuts (not counting TV work):
Jane Champion - An Exercise In Discipline (1982)
Nora Ephron - This Is My Life (1992)
Penny Marshall - Jumpin’ Jack Flash (1986)
Claire Denis - Chocolat (1988)
Jodie Foster - Little Man Tate (1991)
Nancy Savoca - True Love (1989)
Mary Harron - I Shot Andy Warhol (1996)
Sharon Maguire - Bridgit Jone’s Diary (2001)
Mimi Leder - The Peacemaker (1997)
Sarah Polley - Away from Her (2007)
Sophia Coppola - The Virgin Suicides (1999)
Can anyone name a first movie by a woman director that is more notable than any of the above?