You don't have to be in the Hair Room.

Make sure the hair is parented to Aiko's head. Select the hair, then Object -> Change Parent. The Hierarchy editor will open up. Pick Aiko's head.

Then try the MAT.

MAT files don't work on props (including hair props) unless they are parented to a figure. Usually hair is automatically parented when it comes in, but sometimes they forget.

If that doesn't work, try saving your work, exiting Poser, and getting back in. Poser has strange memory errors sometimes. It has a tendency to hold on to old textures, even when you've changed them. The solution is to shut down Poser and re-start.