Yes, definitely. I think all girls and women should take self defense classes with a proper teacher. It will help a lot with prevention of street assaults (especially sexual) on women if they have at least a basic set of skills for self defense. What do you mean from what thing women should start learning? "Thing" is move, system, martial art, instructor..?
Actual 'street' assaults on women aren't that common, however assaults and rapes by people known to the victims are scarily common. 90% of rapes are committed by someone known to the victim, these rapes happen in places where the victim can often feel safe, the workplace, home etc. Any self defence training has to be appropriate not a one size fits all affair.