Turn off the first plot that you created above:
STAT PLOT (2ND/Y=). 1:Plot1...On. OFF by using the arrows to highlight the word OFF, then press ENTER. To distinguish between the males and females, we'll display two scatterplots on the same screen using different marks for the males and females:
STAT PLOT 2 for height and weight for males only with L3 and L4; set up STAT PLOT 3 for height and weight for females only with L5 and L6. Choose different marks for the two plots. For example, 

ZOOM/9: ZoomStat. You should now see two marks on the scatterplot, one for males and one for females.