Strange hairdo not initially set (5)
I believe the answer is:
radio
'set' is the definition.
(radio is a kind of set)
'strange hairdo not initially' is the wordplay.
'strange' is an anagram indicator.
'not initially' means to remove the first letter.
'hairdo' with its first letter taken off is 'airdo'.
'airdo' with letters rearranged gives 'RADIO'.
(Other definitions for radio that I've seen before include "Communications receiver" , "It was first called the wireless" , "Communications medium" , "Receiving device" , "Transmitter" .)