Well, for example - https://www.ncbi.nlm.nih.gov/pubmed/18761592
They took 12 men, 12 women and 12 MTF (before hormones, i.e. those who itself only positions itself as a vehicle). They were shown a porn film and watched their brains through MRI - especially the regions of the brain responsible for sexual arousal - the thalamus, amidala, orbital-frontal and insular cortex. In men, activity in these sections was increased, in women - none. MTF has results on porn - similar to women, not men (i.e. either they are not aroused, or the excitement is in the wrong parts of the brain).
They say that the brain is formed in the womb and under the influence hormones and suppress it, but it can not be changed.