Are we referring to Mylochka's Madelyn Hair found at Sharecg?  I d'led that file and everything appears to be in order.  There are png files along with the rsr's so there was no need to convert the image files.  And the pz2 contain the right paths to the texture files.  Did you install everything from the zip?

Edit:  There is also Madelyn Hair over at DAZ.  I believe I have this one installed, need to check.