Picking whether your avatar is a boy or a girl first happens when you create your account. It's one of the options that can be selected when filling out the form for a new account.
I Picked the Wrong Gender!
Some users may find that they accidentally selected the wrong gender after creating their accounts. Luckily, there are ways that this can be fixed.
If this has happened to you, you can change your officially registered gender by editing it in your account settings page. You can get to your settings by clicking on the gear-icon in the upper-right corner of your screen and selecting Settings in the menu that pops up. On the Settings page, you'll want to scroll down to the Personal section. The option to change the gender should be there.
Changing the Avatar Itself
The above instructions will only change how the account is registered with Roblox. This will not change the way your avatar looks.
To change your look, you'll need to pick up the free man or woman avatar packages from the catalog by going to one of the following links:
After you have obtained the correct package, go to the Avatar page. Once you're there, click on Body, and then select Packages from the list of categories. Find the correct Package and click the item-icon. Your avatar should now update.
Note: If you click an item-icon but your avatar does not visually change, click the "Redraw" link to force the update.
For more information on account and avatar customization, please see the following links: