What you should do is to do a search here in the forum. You need to load the hair transparency map and it's been explained lots of times. Unless the horse mane is Poser dynamic hair (which I doubt), but in which case you simply cannot import it into Bryce except with lots of difficulties. As to the plastic look, Poser interprets the values differently and you have to tweak the textures in Bryce. I think it has also been explained a few times here in the forum. Lower the Specularity a lot, to 2-3, load the image texture into the Ambient channel, open the texture editor and load the texture into the middle window, so you get a BW version, and then load it into Bump. Increase the value of Bump to something like 5-10, depending on what you like. Shodows is simply weird. Poser figures do cast shadows in Bryce, even with only the default sun. Have you accidentally turned off the shadows on your light?

-- erlik