problem with hair tutorial

I did this tutorial on hair particles, and I have a problem. The first part of the tut is giving a sphere hair. I did that part twice, but I keep having the same problem:

This is how it looks in the tutorial:

Looks nice and fluffy doesn’t it? Well, mine is too, but it stays grey:-?
It has something to do with the lighting, and it’s suggested, that if it doesn’t look like this, you should do some lighting tuts. Well, I’ve done them ofcourse, and I know the basics about lighting, but I can’t seem to get it right…

I think you need to enable ZTransp. When you avtivate no Tranparency mode, the background shines through.

Test it by changing the background color ansd see whether the hair changes color as well.