I have this problem too but no solution (yet). I'm about to try aussie miracle stuff, use a weekly deep conditioning treatment and (gasp) have booked in to have lots cut off tomorrow. Hopefully someone else can be more helpful!
I have issues with my scalp/hair when I swim too much.
Tips that help: Wet your hair in the shower before you go in the pool so that the hair absorbs the plain water not the chlorinated water try putting bit of leave in conditioner on your hair the day you go swimming use a shampoo designed for after swimming or a clarifying one to ensure that the chlorine is washed out. Boots do a few good ones. Use hot oil - I find this helped the most - it actually says on it that it removes x amount of chlorine etc I think.
I swim 2/3 times a week and do as gilmoregirl says wet my hair before I swim, in the showe, then use the Boots Swim shampoo once a week, but mainly just slap on loads of conditioner when I wash my hair and it's now fair less straw like. For years, I got through two bottles of shampoo to one of conditioner, but now I'm more liberal with it, my hair is in better shape.