Material Not Working

I have a head model. I made a flat cap in Zbrush and exported it as an OBJ. Importing it into Blender, everything works fine except I cannot change the material, no matter what I do. I have tried saving it as a blend file and opening it as a blend file and changing the material, in which case the same happens (nothing). Cannot change the material. What is going on here? Really frustrating!
Thanks

Colby

is it possible to import the mesh in a new file
save it
then open a blank file
and append the mesh only from the imported file

might work

or you could try creating a cube with the material you want
then switch the mesh data to be the mesh you want
(the arrows next to ME:Cube in the edit buttons)