A baby sheep is a lamb. A female sheep is a ewe.
Most female sheep do not get altered. But, I'm assuming, either way, they're known as "ewes" (pronounced "you's"). However, altered males are far more common because it is much easier to castrate a...
Ewes.
A female adult sheep is called a ewe, the male is a ram.
A female sheep is called a ewe or a dam.