Why are you exporting it? 

Are you saving directly to the library or are you exporting out of Poser?

After creating the hair in the hair room, save it directly to the library under the Hair tab.

If you're saving an entire scene, save the scene directly to the library. Don't save it through the file menu as that has a tendency to corrupt the scene depending on what settings you are using in preferences and such. Just save your scene directly to the library. Then when you need to pull that scene back up, load it from the library. You can either import the scene into your current scene from the library, (which will combine the contents of both scenes), or you can have it replace your current scene. 

What version of Poser are you using?