The Alliance - S1-E4
Corrected entry: After Roy catches Jim and Pam too close for his comfort, Jim reveals The Alliance joke. Then we see Dwight with the interview cam, while he has blonde hair. He had his normal hair just after the incident. There would be no reason for him to think that he needs to dye his hair at that point, since he had found out that Jim was messing with him.
Correction: Dwight had already applied the peroxide. It took time to bleach out.