1. It may seem childish, but you could like drop your purse one day and have a bunch of tampons fall out.
2. But I don't know. That guy seems like a total jerk, and he will be a total jerk if he goes around and tells everyone he thinks you're trans. But like kelly said, if you got paperwork that says you're female then you should be good.
3. You could try talking to this guy.
4. Also, have you considered that people in your work place may already know?
Well, those are the thoughts that crossed my mind. Me, still being a child, like the first option! The third option is pry the most realistic though.