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Going to the gym now, will make an informal complaint/suggestion to them but ask that my comments are kept on file. Then, try and get others (who I know are embarrassed by this too) to do the same, the gym should pay attention. Christ it would take them a morning to knock up a cubicle.
Otherwise, I am tempted to take the guy head on and tell him his daughter is old enough to use the female changing room. Or at the least, hold a bloody towel up and dont allow her to walk around unsupervised!!!