Lol I have been planning this as a tutorial, but haven't yet got around it, but the tutorial is basically what Oolite said, for info on alpha maps search 'tree' in 3D Chat and find my low poly tree tutorial for tips on how to use modelling and alpha maps
edit:
For actual texturing, I would use a blank layer, using one shade of the hair colour and draw the hairs, then add another blank layer, do the same with a differant shade and so on, you could use a gradient tool on the selection to make it look as the the hair is shiny (this is assuming you use a program that is, or is similar to photoshop)