Is that gray are on their hair called an Alpha, and how do I remove it, I couldnt find any tutorials on how to do so
Depends.
Are you using blender?
Well first of all, does the hair texture even have transparency? If it does, you'll need to put the texture in the opacity slot of your material too and set Mono Channel Output to Alpha. In some cases, you may use RGB instead like when there is a separate opacity map or the texture is designed with that in mind (Certain energy textures, effects, etc.).
if that dose'nt work there is always useing photoshop to create the transparency