If I understood what your problem is, it's actually 2 different problems. The hair sticking out of hats and stuff is fixed by going to modifiers>>mesh>>edit mesh, by doing that you can delete all the extra hair you don't want.
Now, I'm guessing you see squares or rectangles with strands and bunches of hair "painted" on it rather than the actual hair. That's an alpha channel problem.
You need to download gc3, then go back to your mv and select DAT TO METASEQUOIA, it will give you a list from which you are going to pick the piece that needs transparency, in our case the head. open gc3 and pull up the file with the .dds extension, select "save as alpha channel". I reccommend you add a letter or something to the file you're saving so that you can easily pick the right one when you go look for it. Open mqo and pull up the model you wanna work on. Press ctrl+m and pick the body part you wanna work on (the head is usually 0 or 1). If you look at the bottom you will see 3 rows of stuff that have 2 buttons on the right that say "ref" "show". The middle one is the alpha channel, hit "Alpha" and choose the file you saved with gc3. Click ok and resave your model. You can import it with max and the hair should look ok. Sounds like alot, but once you have what you need it's a 15 sec process.
This is the foliage of a treant, before and after.
Are there other ways to do the alpha thing? Yes, but this is fast.
Hope it helps