Lieutenant Negar was shot in the neck near police headquarters in the provincial capital, Lashkar Gah.
She is the third senior policewoman to be killed in recent months. Her predecessor in Helmand, Islam Bibi, was killed on her way to work in July.
Police in Helmand face the twin threats of Taliban insurgents and drug traders.
No group has said it carried out the latest attack. A spokesman for the governor of Helmand described Lt Negar\'s assailants as \"enemies of Afghanistan\".
The BBC\'s David Loyn in Kabul says Afghan troops and police are increasingly bearing the load as British and American troops draw down their forces.
Women make up just under 1% of Afghanistan\'s police, with nearly 1,600 policewomen serving and about 200 more in training.
Lt Negar, known only by her surname, was walking near police headquarters when she was shot by a gunman on a motorbike, officials say.
Helmand Provincial governor\'s spokesman Omar Zawak told the Associated Press news agency that the 38-year-old suffered a bullet wound to the neck.
In a recent interview with the New York Times, Lt Negar said she loved her job, and felt it was important that women came forward to work for the police.
After her two female colleagues were killed in July, she said her role was to give courage to the 30 or so other women police officers in Helmand and boost their morale.
Lt Negar served as a sub-inspector in the police criminal investigation department in Helmand.
She took over when 37-year-old Islam Bibi was shot dead in July. Lt Bibi had been hailed as a role model for other women in the conservative province.
Several prominent Afghan women have been attacked or kidnapped in recent months.
Earlier this month the Taliban released a female member of parliament who they had held hostage for a month.
In August, insurgents ambushed the convoy of a female Afghan senator, seriously wounding her and killing her nine-year-old daughter.
In 2008 gunmen in Kandahar killed Lt-Col Malalai Kakar, the country\'s most prominent policewoman and head of Kandahar\'s department of crimes against women.
Afghanistan\'s Independent Human Rights Commission says general violence against women has increased sharply over the last two years, and donor nations have expressed fears that advances in women\'s rights could be at risk when Nato-led troops withdraw next year.
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