First of all, don't worry! :) My 3 1/2 year old boy keeps telling me he wants me to have four green girl babies who will be his brothers, a sister he can name "mommy," etc. They are learning so many things at this age, including what gender is in a biological sense as well as activities. You can always tell her that she can do the same things as boys as far as playing goes. To be honest, I was a bit of a tom-boy as a kid and can remember actually thinking that if I hoped as hard as I could before I fell asleep, maybe by magic I would wake up as a boy. This, of course, was mostly because in stories and movies boys always have the best adventures--they can be pirates, knights, princes, super-heroes, brave miller's sons, etc. I also didn't really have any friends as a kid and just had two sisters and read a lot of books. I still prefer "boy" adventure stories, like Kidnapped and Treasure Island, but love being a woman--married to an awesome man who likes fishing with me and mother to two great boys. I had no gender confusion, I did not try to "become" anything that I was not (I distinctly remember in addition to wanting to be a boy so I could have adventures that I also wanted to grow up, get married, and have six children, be a veterinarian, stay single and adopt as many children and animals as I could, become a Missionary pilot, study sharks, and write picture books). I grew up hiking, fishing, hunting, target shooting, having "adventures" with my sisters outside, rolling in the mud, rescuing worms, and many other things that are so wonderful to experience in childhood, whether a child is a boy or girl.
On a side note, one of my nephews said as a child that he wanted to grow up and be a mommy--he adored her and seemed to think she had the coolest job ever. :) Remind her that being a girl is wonderful, but don't feel any need to press her into "girl" behaviors--boy play is often much more fun anyway! :) Sounds like you're doing great just listening and telling her she can be whatever she wants and that you love her.
P.S. Sandy S.--how true! My boys LOVE wearing my heels around the house after work! The higher and more fun, the more they love it! They also usually tell me they are dinosaurs and that I am mommy dinosaur.