When a man falls overboard you say, "Man overboard." What do you say when a woman falls overboard?

Nowadays you should probably shout 'person overboard' to be quite sure. As in English law the term man is taken to embrace woman as well (except where context dictates otherwise), 'man overboard' would suffice.

https://en.wikipedia.org/wiki/Man_overboard

There is no differation between man, woman or child when a person goes overboard.

The first action when a person goes overboard is to sound the alarm: ‘Man overboard’, followed by the side (port, starboard, stern) they went over. Then the crew person tosses a lifering to which is attached a strobe light; the coxswain turns the helm in the direction the person fell (port or starboard). Meanwhile the person who called the overboard stays with eyes riveted on the person in the water. When the boat comes about and is heading for the person in the water (PIW), command will decide weather to make a direct or indirect pickup. In nearly all cases picking up the PIW should be done with the rescue boat’s bow heading into the elements- wind or sea. This approach provides for better control of the boat.

http://www.boatsmart.net/content/bs829.shtml

I've found this attributed to Paul Lynde of Hollywood Squares fame:

What do you say when a woman falls overboard? Paul Lynde: "Full steam ahead!"

http://greginhollywood.com/flashback-video-some-of-the-best-of-the-late-great-paul-lynde-on-the-hollywood-squares-105875