Why is that women have a higher risk of having a HIV infection?

A few reasons:
-psychosocial factors that place women at higher risk, including partner dependence, lack of legal protections, gender inequality, etc.

-biologically there are a few reasons as well:
*as was mentioned, the vagina is a large mucosal membrane, and the cervical mucosa is only 1 cell thick (this is where many initial HIV infections occur in women) and full of immune cells that HIV targets...the vaginal wall mucosa is thicker but infection is still possible there.
*STIs drastically increase the likelihood of acquiring HIV should you be exposed, and it is more likely for a woman to have an asymptomatic (no symptom) STI and not be aware of it, than it is for a man to be unaware
*Semen, if involved, usually (on average) has a higher amount of HIV in it then vaginal fluids do (this depends on a lot of factors)
*And I would add that with the lack of education surrounding HIV, and society's fixation on HIV as a gay or injection drug user disease, it places women at higher risk....they are not being taught that they are at risk, especially if enaging in unprotected sex. The vast majority of global infections occur from heterosexual exposure, and the majority affected are women. We need to overhaul our sexual health education!

Larger amounts of mucous membrane. The cells in a mucous membrane and shaped and situated differently than the cells on other places of your body. There's bigger spaces between the cells that make up the skin so there's easier access to the layers beneath the skin for viruses and bacteria. It's also easier to bleed from these areas.

If you are really into anatomy, look up the different types of skin cells. Simple squamous, epithelium, etc etc.

I agree with the above response and would like to add that unfortunately, women are at a higher risk for most STDs.