I'm a red head and have had to deal with this nonsense more times than I can remember.
I wasn't actually bullied over my hair colour at school (I was - still am - very small for my age so that was the easier target, I suppose) but there was a guy in my year who was picked on relentlessly, even his friends would tease him all the time. I always expected it to be turned onto me at some point, and that, plus the normal comments (much like the reason for your post) made me want to dye my hair when I was at secondary school. I dyed it for years, though I eventually stopped (mainly because I couldn't be bothered to keep dying it and worrying about roots etc, but also partly because I thought I'd probably regret it when my hair darkens).
I do find it strange that red heads get so much crap for their hair colour (and trust me, it doesn't stop at school - one of the girls I used to work with was pregnant and was having a discussion with two of our other colleagues - who she was very friendly with - about how much she'd hate it if her kid has ginger hair, and how she hopes he doesn't etc. Sadly, this was not the only time I've been sat near someone making comments about red heads and just had to sit there, with my face burning), yet every hair dresser I've had has told me how lovely my hair is and how people are willing to pay an absolute fortune to have their hair dyed to have the same colour.
I would say it's not really worth bothering with a complaint - it wouldn't come to anything and your daughter isn't of an age where it will really affect her yet. All you can do really is make sure your daughter grows up not thinking of it as a curse. No doubt she will get plenty of compliments too, but it is easy to forget those when you hear such nasty comments. Whenever I was feeling blue about it, my mum (when I was younger) or my partner (now) (who both love my hair colour) always know what to say to make me feel better and forget whatever dumb comments are made. That's about all you can do, I think.