It is IMPORTANT to tell him that while he may admire a female character in a movie and that is okay and it is okay if he wants to pretend to be that character during play, in REAL LIFE he is a little boy and a MALE child. That IS his own skin and that is what he needs to accept. Otherwise you are just going to create TURMOIL in the child's life later on down the road. You are the parent. YOU instill the values.
Again- what does this have to do with the thread?