Denied Employment Because of My Natural Hair

I am a professional African-American female. I have natural hair with my natural color, which I often wear in a neat ponytail. Ofcourse my ponytail is an afro because thats what Black hair looks like.
I went to an interview at a Beverly Hills hotel for a Guest Services position. The 1st interview went great and I was referred for a second interview.
On my 2nd interview, the manager told me in exact words that the company has strict GROOMING standards and that my hair would not meet those requirements. She told me that they are more traditional there and asked if I would consider changing my hair (while making a hand gesture insinuating straight hair). I told her No I cannot because this is my hair in its NATURAL form, and even if I wore my ponytail further back, my hair would still look the same.
This woman even went further on to say that the hotels around Sunset Blvd are more "Hip & Trendy" and may be less strict, but "We're just not there yet, we're very traditional," is what she stated to me. She said she just wanted to be honest so she wouldnt waist my time.

What is the first step that I should do?

[Law200]

Well she should not have said that...

You could consult your nearest Department of Labor office to briefly discuss the issue with them first...you may also want to ask the company to put what is happening in writing and explain to them that you may have attorneys review the situation...try speaking to a higher level of management about the issue; they may override the other managers. If none of these efforts resolves the issue, let us know.

Or you could just forget them and work some place better...