Rav Moshe Feinstein was asked in 1980 by his grandson, Rav Shabtai Rappaport, about whether or not women who lived in Gush Etzion would be allowed to carry guns. While women are generally prohibited from carrying weapons on the grounds that they are kli gever, man-specific clothing, perhaps the law would be different in the case of individuals living among hostile enemies, where every venture out of one's town carried the potential for some life-threatening attack [ed. note: having learned in Gush Etzion for several years, I can vouch for the fact that certainly in 1980 such a danger was both clear and present.]
Rav Moshe offers an analysis of the general prohibition against women carrying firearms, discussing both the issue of whether or not they are considered to be decorative (probably meaning carried for sport or as a status symbol) as well as the issue of whether or not there is an intrinsic connection between firearms and going to war (which also presents an issue with regard to women). Ultimately, Rav Moshe strongly supports women in this case carrying pistols, as this is obviously a case of pikuach nefesh, and it does not make sense to tell women to not travel to unsafe places (especially since every road would qualify as an unsafe place). Rav Moshe further notes that not only should women be allowed to carry guns if they feel it is necessary, but they can do so even if travelling with a man who also has a gun and, of course, they should make sure to receive the necessary training in order to be able to use their guns effectively if need be.