Here are some good tutorials for you to read or watch:
New in Photoshop CS5 – Cutout and Refine Edge
This is the technique we will use in class
Complex Selections Made Easy in Photoshop CS5
Here is another Adobe video to help with selecting hair
Photoshop For Beginners: 6 techniques to extract anything from its background
Removing Backgrounds – Beginners Photoshop Lesson 1