They don't work well for men, either. They can get acne, shrinkage of the testicles, liver damage, and oddly enough, breast growth (with an attendant risk of breast cancer.)
For women, it's flat-out dangerous. The artificial forms used as supplements have a history of causing breast cancer, usually a very aggressive form, and can just generally mess you up. In theory, it could also interfere with birth control, and if you should accidentally get pregnant, the excess testosterone could be very damaging to the fetus. If you're even briefly thinking about it, ask your OB-GYN first. S/he probably won't even have to say a word; the expression on her face will say it all. Either that, or she'll measure your natural levels and, if you're low and could benefit from a tiny bit more, she'll give you a prescription so you know you're getting the right dose and it's not contaminated.
In fact, you should think twice about whether you even want to be around people who are using it. It's a form of doping-- it's what got Floyd Landis stripped of his Tour de France win. If somebody is offering it to you, ask yourself what other shady stuff they might be involved in.