Poser 5 comes with two type of wigs; polygonal (3d objects in the shape of hair that use trans maps for realism) and dynamic hair props. When loaded, they are supposed to "parent" to the head automatically, but depending on what modifications you've made to your model, they may not sit properly on the head. I'm assuming you are using a Dynamic hair prop. To ensure it is positioned correctly, you need to make the skullcap (on which the hair grows) visible. You do this in the material room. Select the skullcap prop, and in the material window, select the skullcap group from the dropdown. Then set the Transparency setting to 0. The skullcap will be visible. Use the X,Y,Z trans to position it proper on the head (as close as possible without skin showing through). No other settings should be required for it to render properly. Your description implies that you did not render the image (from titlebar menu: Render->Render).