Undecided questions
Male or female?

You just can't, at least using that phrase. Can use girl friend or boy friend.

Thing is, if you specify gender, listener might be confused whether is a friend, or you half orange :)

in this sentence you can't - but you can say the names or some girls / some boys for example to specify

There is no way to tell from just one sentence, unless you include their name at the end. Example: "I'm going to the movies with my friend, John (or Jessica)." I would not recommend using boyfriend/girlfriend since this almost always implies a romantic relationship, especially if men say it. Women will sometimes call their platonic female friends "girlfriends." Men never do.

If it had to be in one sentence, the usual way this would be done (in USA) is by saying "I am going to the movies with a guy I'm friends with." or "I am going to the movie with woman/girl I know."

I think it would be more typical to use a pronoun in the next sentence to specify, however. "I am going to the movies with a friend. She wants to see the new James Bond film." "I am going to the movies with a friend. I am meeting him there at 8:30."