A nice piece (free) in The Economist reviewing current research on the innate differences between men and women.
Female is the default brain setting. Until the eighth week of gestation every human fetal brain looks female. The brain, like the rest of the human body, becomes male as a result of surges of testosterone—one during gestation and one shortly after birth.
This wash of hormones creates an organ that generates typically boyish behaviour, such as rough-and-tumble play. Behavioural differences appear early. For example, a one-day-old girl will look for longer at a face than at a mechanical mobile; a boy will prefer the mobile.
Within a year of birth, boys and girls also prefer different toys. Boys prefer cars, trucks, balls and guns. Girls prefer dolls and tea sets. Although evolution has clearly not had the opportunity to mould a preference for tea sets, there is evidence from another species which suggests that human infants might be predisposed to prefer toys that have particular adaptive significance to their sex. Several years ago, Melissa Hines, of City University in London, and Gerianne Alexander, of Texas A&M University, gave some vervet monkeys a selection of toys, including rag dolls, pans, balls and trucks. Male monkeys spent more time with the trucks and balls. Females played for longer with the dolls.
References for the article are here: