Both fur and hair are possible with anim8or. There are two ways you could go about it, there's the ridiculously high poly way, and the lower poly way. The ridiculously high poly way is basically modeling hairs and putting them on the model, rotating them correctly to give you hair. The upside to this method is you get realistic shadows, the downside is the freakishly high amounts of polies, and the freakishly long render times.
The low poly method is making planes that you texture using transmaps to give each plane multiple hairs. You can then rotate these planes and put them on the head to give yourself a full head of hair. The downside to this method is that shadows aren't very realistic as anim8or can't render shadows of different transparencies differently.
