By all means, try to prove him wrong if he has a bias against women (this may not be the case with your particular instructor) -- but if you think such a bias exists, keep your eyes open for a better school. Some instructors might change their minds about women given a determined example, but others just won't invest the time to help you with training. Why waste your time with a teacher if he won't train you well because he has a preconceived idea about your lack of potential?
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God grant me a good sword and no use for it. -- Polish proverb