This was in connection with Freeman Dyson's rant about recent philosophers. Dyson said that at Cambridge, "If a woman appeared in the audience, [Wittgenstein] would remain standing silent until she left the room."
While Wittgenstein might have adopted this policy when Dyson was at Cambridge, there were in fact several women who attended Wittgenstein's lectures over the years. You can find some of this info in O. K. Bouwsma's 1961 review of the Blue Book (pdf). Bouwsma quotes from a letter by Alice Ambrose, who attended Wittgenstein's classes in the 1930's. Ambrose says that she and Margaret Masterman were among a select group of students who recorded Wittgenstein's thoughts (under his direction) for the Blue Book. Ambrose adds that a Mrs. Helen Knight also attended some of those sessions with Wittgenstein. And, of course, there's G. E. M. Anscombe. In addition, Rose Rand attended some of Wittgenstein's classes in the early 1940's. In the thread at Leiter's blog, Michael Kremer adds that Margaret McDonald was at some of Wittgenstein's lectures and took some of the notes that were later published. So, at least six women attended Wittgenstein's classes. Moreover, Wittgenstein seems to have respected not only Anscombe's philosophical abilities but those of Ambrose and Masterman as well.
None of this undermines Dyson's anecdote about Wittgenstein's sexist behaviour in the classroom. In fact, in the comments at Leiter's blog, Kremer documents one such case (initially attested to by Geach).
Wittgenstein had a disconcerting tendency to turn against previously favoured students and even colleagues. After R. B. Braithwaite published an account of how Wittgenstein's views had changed, Braithwaite found that he was prohibited from attending any more of Wittgenstein's lectures. In 1935, after Ambrose published a paper that expressed some of Wittgenstein's thinking about math, she, too, was cast out (see this pdf by John G. Slater for more). In Ambrose's letter (quoted by Bouwsma [pdf]), Ambrose says that even Masterman (aka Mrs. Braithwaite) was on the outs with the master at one point and stopped attending his lectures (though Ambrose doesn't say explicitly that Masterman was required to do so).
These events occurred before the war and thus before Dyson's time at Cambridge. Still, I wonder if Dyson witnessed Wittgenstein freezing out another erstwhile favoured student who happened to be female. Or perhaps Wittgenstein really was less receptive to female students after the war.
Update (Oct. 23): Here's a bit from J. N. Findlay's "My Encounters With Wittgenstein":
Wittgenstein in that period became much beset by visitors, many from the U. S., and to some he was petulant, ungracious, or simply exclusive: Ernest Nagel [bio], an admirable person, vainly attempted to penetrate his courses or his conversations. He would have nothing to do with anyone who had had close relations with the Logical Positivists. (Studies in the Philosophy of J. N. Findlay, p. 57)
Update (Oct. 24): I wanted to focus on evidence against Wittgenstein's misogyny, but I've found some that supports Dyson's attribution. One of Iris Murdoch's biographers, Peter Conradi, says that Wittgenstein was known to remark, 'Men are foul, but women are viler.' For the attribution of this claim to Wittgenstein, Conradi refers to a conversation that he had with Georg Kreisel. I'm quoting from p. 123 of this recent collection of papers on Murdoch, to which Conradi contributed an article, though I think Conradi included the quotation in his earlier, biographical study of Murdoch.