I'm trying to remember a puppet show, quite possibly Jim Henson?
It starrs this yellow girl with wild purple hair and wearing red overalls. The show bears her name; it might have been 'Ollie' something (the end of the show's theme features it). It takes place in mid-New York neighbourhood, I think, and the girl has friends starring with her, maybe some family members.

Does anyone remember that show? I really like its theme song.

This probly isn't right, but the first show that came into my mind when i read your description was allegra's window. probly not it, but i figured that i'd throw it out there

No, the character looked more along the lines of Fraggle Rock characters, with bulgy eyes.