The cop might have honestly had the best of intentions, but he was misinformed. Continue riding as you are, only you can asses the best way to make your left hand turn. Each intersection is different. In my commuting route, there is one left hand turn that I have to make on a particularly busy road. Rather than get in the left lane (which is a turn left or go straight), I hang a right then turn around so I can go straight through the intersection at the next light cycle.

I don't believe gender had any role in this.