What are these hair things called?

I'm pretty sure they're called hair wraps. I got one of these done on a trip to the Bahamas once.

I googled it and this is the first link that came up. I'm sure you could find a better one though if this one doesn't work for you.

http://tlc.howstuffworks.com/family/girls-hair-wraps.htm

Aaw I remember these!! In primary school we had a fair/fate thing and some friends of mine and me set up doing these for like 20p each for like 6 colours. We ended up making £14+ Quite an achievement now I think about it.

That tutorial is good (provided by Dessah above). You just tie the colours to the where you want it to start, so the roots of your hair (you'll want a pinch of hair or however thick you want it). Next you start wrapping it around the hair all the way down to the tips of your hair. You can alternate colours and make fancy zig-zag patterns, its so fun!! Then just tie off the end in a neat way and voila!

Let us know how you get on!

Forgot to mention, it's probably best done with embroidery thread

And might be easier if you plait/braid the hair before you start wrapping so it looks neater without any strays poking out.

Yeah Hair wraps, I had one done in Turkey when I was younger, unfortunately my hair is too short for them to look good anymore.

Yep, I got taught how to do this by a street performer in New Orleans. I used to do them for all my friends. Ruby is right you do use Embroidery thread. And a little trick is to wet the hair you are wrapping and put gel on it. Otherwise your hair can poke out inbetween the thread.

Aaawww I used to LOVE these, I used to get the done when I used to go on holiday, one of them I got done at Walton-On-Naze!!

Tara: Would you plait your hair first? How would you wrap the embroidary thread round your hair? You should do a video project on it, I'm sure people would be very interested to learn how to do it... I would be

Oh, awesome. I got really good at doing hair wraps for my friends when I was younger, but I can't for the life of me remember now exactly how I went about it... I think I generally used two or three colours and tied them on at the top, wrapped one strand of floss around for about an inch or so leaving the other strand(s) getting wrapped along with the hair, then swapped colours so I was then wrapping over the tail of the previous strand etc... and continued alternating like that... Definitely use embroidery thread though, and stringing beads on is always fun as well (glass e beads are probably best size wise). I don't remember if I braided the hair first or not, but it certainly wouldn't hurt, and keeping it damp is always a good idea as it does help make sure you don't end up with strands trying to poke through. I will say though that it is infinitely easier to do this for someone else than to try and wrap your own hair, so I'd suggest finding a friend who's also interested and then do each others.
As for exactly what you have in the image posted, Erica, I'm not sure if that's exactly the technique. It looks more like the beads are strung onto the hair directly, which I've also tried by doing a very fine braid, stringing on the beads and then wrapping (and kind of sewing through) the very bottom to keep the beads on. One warning I will give is that hair falls out. Eventually, all the hair in that braid will have reached the end of it's life, and you will end up with beads everywhere if you don't see it coming and remove them before hand. And yes, I did learn that one the hard way. >_< (This is particualry important with very fine braids as the less hair involved, the faster it'll happen).
Either way, best luck trying this out- it's a pretty awesome look.

I wouldn't braid your hair. Trust me on this. Depending on how long you keep it in, you will probably have to cut your hair off. I have had too!

Let me think about how to work it and I will write out how to do it. I would do it now, but it is bed time now. (=