Poser won't put the hat on David's head for you. You have to do that yourself. But once it is where you want it to be:

Select Object -> Set Parent -> Select David's Head in the Hierarchy Window -> Click OK

 

 

Now the hat should stay on David's head until you take it off.

 

You can make the hat a smart prop from now on though if you resave it or save it and rename it.  Then it should load on top of David's head.