Can I sue my employer on discrimination if I was the only employee handed the grooming policy on hair?

You could sue if the policy discriminates based upon some legally protected characteristic such as race, religion, gender, or age, and if you have that protected characteristic. You could also sue if the policy is only being enforced against you because of your legally protected characteristic. (Your desire to express yourself through your chosen hairstyle is not a legally protected characteristic.)

It would depend on factors such as how do you wear your hair. Do you wear it in a manner that is ethnic or religious?

I find nothing in your facts that would permit you to win a discrimination case. Not all discrimination is illegal. Perhaps you are the only employee that needed this coaching.

Maybe, maybe not. Grooming policies are legal, but selective enforcement of them is not, and sometimes the policies themselves can be discriminatory. In addition, there are many religions that require accommodation in grooming and appearance, and there may be a requirement that your employer accommodate your appearance in situations of sincerely held religious beliefs. It depends a lot on what others look like and what you look like, what the employment situation is, and whether giving the grooming policy to you implies some kind of ethnic, race, or gender discrimination or bias. It's often hard to answer questions like this without more information about the situation. I do suggest you contact an attorney by telephone to see if there are other important facts that might change the outcome of this situation.

Possibly. Contact the Wisconsin Equal Rights Division.

No. It has nothing to do with race, religion, etc.