It depends on the context. It could mean a woman who enjoys luxury.

I'd only ever heard the term in some old song lyrics, but a look online suggests it's gained popularity recently. Here's more from 'Urban Dictionary': A girl who is very independent, not relying on other people & fights for what she wants. A Material Girl also tends to like expensive and luxurious things. She is also a girl who knows what she wants and will do anything in her power to get it. They tend to show confidence and egotistical behaviors even though they are not really like that. I'd say it's negative but maybe some people would disagree, depending on their outlook on life.

Yes. The adjective we often use is materialistic. This usually has negative connotations but not always. She’s so shallow and materialistic, she cares for more possessions than people (negative) Because she’s quite materialistic, she always has a lovely collection of clothes she wears to work (non negative)

It's someone who prioritises material possessions and luxury items.

It was a good song by Madonna though! But yes, as others have already said, it’s a female who likes material possessions. We might say ‘who enjoys the finer things of life’. It can have negative connotations if it implies she is shallow and puts money before other things, but it’s not always used in a negative sense.