Fix hair transparency

It is a lot more helpful if you post your screenshots:

It is even more useful if you post a screenshot that shows us what you did to the layer by selecting the layer and pressing the U key twice. 

You have at least one problem here. The first is that the key has not bee properly setup. There is a workflow when you use Keylight or any other keying software and you have to go through all of the steps to get good edges and a complete removal of the background. The second problem may be the quality of the compression in the source footage. It's very hard to pull a good key when the screen is poorly lit, or the screen color is uneven, or when the footage is highly compressed. The images you uploaded look like photographs of your monitor, not the original images. The quality is not good and the screen is very poorly lit. 

The first thing I would do with this shot would be to draw a simple garbage matte around the actor and then try and pull the best key I could around the hair. Here is everything I did to complete step 1.

The second step would be to duplicate the layer, sample the colors around the shoulders, and try and create a good matte for that layer. I would combine the layers into a track matte that I could use for the rest of the footage. If your images are copies of the original footage then it's going to be extremely difficult to pull a decent key from this footage. Because of the quality of the lighting on the background you are probably going to need more than one copy of the footage. You may even have to do some hand roto or Rotogrush.

Without a screenshot of how it looks and your keying settings nobody can tell you much. Could be anything from just cranking up a specific setting to more involved procedures like having to duplicate layers and patch things together from different settings and using extra masks.

Mylenium