The statement is true. The male and female embryos anatomically look same at five weeks of pregnancy.
In the 4th week of pregnancy the blastocysts gets implanted in the walls of uterus and develops into the placenta and then becomes an embryo. The embryo is considered starting from the point when the amniotic sac develops which is at the starting of the 5th week of pregnancy. By the 12th week of pregnancy the organs are developed such as arms and legs but the brain and spinal cord keeps developing throughout the pregnancy.
The second trimester begins at the 13th week of the pregnancy and by the 14th week the gender can be identified. So the male and female embryos are anatomically same at 5th week of the pregnancy.