If your hair is modify that is......
Go into edit mode
Click edit linked parts and then click on that stubborn piece of hair!
Then you simply keep it in edit and go to the texture tab
Max the transparency to 100%
You can keep it in edit like I do to put it right back where it was for when you are not posing.
Why do I do this?
Well that is because I do not edit any of my pictures unless it is really needed. I use all natural shadowing and wind light that is provided in SL and this quick little tip will prevent you from having to even open your editor at all!