I've just used one of Lindsay Lohan I found off Google

Open Photoshop and open the picture file (File --> Open)
The first thing you will need to do is to put the picture into a Quick Mask Mode.
To do this, you can either press 'Q' on your keyboard or press the item that looks like this:

Once this has been selected, then choose a brush size of around 21px (Depends on how detailed your picture is)
With this brush, paint over all the area of the hair you wish to change colour.
Once you're finished, it should look something like this:

Now, take this out of Quick Mask Mode, by either pressing the 'Q' key again, or the button shown above.
This should leave flashing red lines around the photo. However, it has selected the background, and not the hair, so to change this we need to invert it.
To do this, you go to Select ---> Inverse (Or as a shortcut, Shift + Control + I)

This should now only be highlighting the hair area you painted earlier.
Now, to put in the colour.
To do this, first, go to Layer ---> New Fill Layer ---> Solid Colour

A box will then pop up asking you whether you want to name this layer (This is optional, but useful if you are planning on adding in lots of different layers)
In the drop down menu that says 'Mode', chose the 'Soft Light' option:

Then press OK.
This should leave you with a colour chart:

Here, you can play around with all the colours, and pick which ever one you want!
Here are two different colour hair colours I did

