hey, I was having a bit of a fiddle around with fur a few days ago to see if i could teach myself how to use it. I had a similar problem where the fur in the modelling window looked really nice, but when I rendered there were only about 10 awefull black strands on the object. I created a light which fixed the colour problem. I eventually worked out that you must set the density in the fur editor for 'FurDescription1' (this is the default name) of the fur. These changes do not show in the the modelling window. Editing the amount of fur in the 'FurFeedback1' window will change the fur density in the modelling window but not the actual render. This is where i had been going wrong!!

I hope this helps

PS. There is NO such thing as a daft question