According to About.com, the general rule of converting U.S. men's sizes to women's is to add two sizes to the men's size to find the corresponding women's shoe size. For example, a U.S. men's size 8 shoe is the equivalent of a U.S. women's size 10.
For sneakers and running shoes, add one and a half shoe sizes to convert men's sizes to women's sizes, and vice versa. For example, a pair of men's size 9 running shoes are the equivalent of women's size 10.5.
Because different manufacturers and brands of shoes often have slight variations in size standards, it's a good idea to try shoes on in stores first to make sure they fit properly. You can also measure your own feet and compare them to a shoe manufacturer's size chart information found online. To measure your feet at home, tape a piece of paper onto the floor and sit with one foot, without shoes, firmly on the paper, with your leg bent slightly forward so that your shin is slightly in front of your ankle. Trace your foot's outline holding the pen upright and close against your foot. Repeat for the other foot. Once you're finished, measure both the length and width of the outlines for both feet. Use the largest length and width measurements and compare them to manufacturer's charts.