Because AND requires both sides of the expression to be true in order for teh result to be true.
Let's simplify your query a bit:
SELECT * FROM [HumanResources].[Employee]
WHERE [Gender]='M' AND [Gender]='F'
Since Gender cannot be both M and F at ethe same time, no rows are returned.
I suspect you want something like this:
SELECT * FROM [HumanResources].[Employee]
WHERE
( [Gender]='M'
AND YEAR([BirthDate]) BETWEEN 1962 AND 1970
AND YEAR([HireDate]) >2001
) OR
( [Gender]='F'
AND YEAR([BirthDate]) between 1972 and 1975
AND YEAR([HireDate])between 2001 and 2002
)