I think the time to figure these kinds of things out is when your gut first twinges and you think.....rut roh....something is amiss here. Take some time to think about why your gut did that. Try to look at the big picture (which is hard to do at times) and see exactly what happened to make you feel uncomfortable.
Everyone is different and handles things like this differently. In learning how to deal affectively, one may have to have more proof than another before deciding that something isn't right. So don't put yourself down for it just because you may not have gotten it right away. The fact that you posted here and questioned about it is awesome. That shows that you are thinking about things and questioning the right things!
There are a number of ways that you can respond to both men and women alike who may be prying too far with personal questions. I like to deal with thing with humor as much as possible, but it does get the point across. I'll say things like "If I told you, I'd have to kill you" or "That information is on a need to know basis only, and you don't need to know". Of course, I'm smiling at the person while I'm saying those things so they know that I'm not angry with them, but they know I will not go there. If you don't want to use humor, it's perfectly alright to tell someone that you don't feel comfortable discussing the subject with them, or that you feel it's too personal a question and can we change the subject?
Most people will back off and give you your space and have respect for you. Some will not. Of those that will not, then they truly are not the ones you want to associate with because they don't respect boundaries or privacy.