You may leave the field as is displaying "<--Select One-->" and no gender filter will be applied.
You may also choose either "Male" or "Female" to limit your query to only males or females.
Choosing "Unspecified" is different from leaving the field as "<--Select One-->". Unspecified is an option that can be entered when creating clients, and choosing "Unspecified" will only bring up those clients that were marked as "Unspecified" when they were created.