While this myth is certainly not without merit, the female orgasm is biologically unnecessary for conception to occur.
But that's not to say it can't help with the fertilization process.
A study done by British biologists in the 1990s found that women retained more seminal fluid when they had an orgasm anywhere from a minute to 45 minutes after a man's ejaculation during copulation. Their theory is that the muscular contractions that accompany a female orgasm have an "upsuck" action that helps pull sperm from the vagina toward the cervix, which gives the swimmers an increased likelihood of reaching an egg [source: Psychology Today].
So it seems that for women, the big O can definitely help lead to a little bundle of joy.