Hair did develop from the same structure (scales) as feathers, but it developed in a branch of reptiles (not dinosaurs) that led to mammals and flying reptiles (yes, pteranadon had fur -- at least that's what a few Russian fossils indicate).
How could that be? I've never seen a feather on a bird which was attached to the skeleton. Admittedly, my first-hand experience is limited to ducks, quail, doves, and turkeys, but it's hard to imagine that this would ever be the case.