In my (admittedly limited) observation and experience, it seems as if most women do want to be led, at least in the initiating/early stages of a relationship. The guy is generally expected to ask the girl out, initiate the first kiss, and generally take on the "seducer" role. This word might have negative connotations for some, which I do not intend. I just mean that the guy is typically expected to pursue the girl, and the girl kind of lets herself be pursued. Now the girl might take a very active role in this pursuit, but this typically takes the form of sending out signals to let the guy know that his advances would be looked on favourably. An obvious example would be telling a mutual friend that she is interested in the guy, so the guy will find out about it, and can ask her out confident that he won't be rejected. There are many subtler examples, some involving things like body language. I've seen some women put a lot of work into being pursued, and really make it as easy for the guy as possible, but very few girls are prepared to do any pursuing of their own
NB this is based on my own experiences and observations, which are centered around women in their teens and twenties in the UK. It's entirely possibly that this is a cultural thing, or that as women get older they become more sure of themselves and have a clearer idea of what they want, and are therefore more willing to go out and get it, so I can't really say whether this pattern holds more widely
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