It's my understanding that HAIR produces lines, not faces so there is nothing there to render. I have a program that will convert a HAIR produced object into a real live renderable mesh, or spheres.

Found it... DropMaker, my computer barely ran Poser when I got this, might be worth another look.
For those who don't know, just select an object and type in " HAIR ". Don't ask me what to do next, I never really used it. Just checked to make sure thats how it work, got about 8 great ideas from a furry ball.