Start with observation. You may want to investigate conversation analysis; what I'm going to describe is a watered-down version of it.
Go to a place where people talk publicly, freely, and audibly. A train station is an excellent place; you have an excuse to sit and observe. Try to find a pair of people; the techniques are harder with more than a dyad, so start with two. You can also do this at a gathering of your friends, but you'll be more inclined to join in, and it'll be harder to stay objective. (Side note: don't be creepy about this. It can easily look like stalking rather than research. If 'caught', be polite and explain what you're doing, and all that stuff.)
Note precisely what people say to each other: every word, not the topics. Look at the non-content parts of the dialog: parts of speech, pronoun use. Look at when and how they talk--who 'chooses' who gets to talk next? How? is it verbal, non-verbal, based on convention? How long are sentences? How long do people speak before being interrupted? Do people answer each other's questions, or just ask another question? Do they talk over each other, at each other, finish each other's sentences?
Do this a few times, and you'll be surprised at what you learn. Then, move on to content. What do they talk about? How do shifts in topic get decided upon, ratified, and carried out? What is the relation of the topics to the speakers? (e.g.: are they discussing something of mutual interest, or is one speaking and the other mostly listening/supporting, or are they swapping me-stories...)
Write some dialog, a fair amount. Don't label the gender of the speakers. Have your critic read it and try to decipher genders. Be surprised at the results. Try again. Fail better.
Do it totally stereotypically. Write the extreme of what you heard. Burn these versions. ;) Then figure out why you thought that would be the stereotype. What did you write? Does it match your observations?
An excellent book on linguistic differences between stereotypically-female and -male conversants is "You Just Don't Understand", by Dr. Tannen, who has made a living out of documenting conversation style differences. This will make you understand some of the subtext of the conversations. Read that one, read "You're wearing THAT?!" to learn more about conversation between a very particular pair of women: mother and daughter.
The good thing about this particular problem is that the answer is all around you. So go out and study, and try, and do.