Sunan an-Nasa'i Book 48, Hadith 50
A woman reached out her hand (to give) a letter to the Prophet , and he withdrew his hand. She said: "O Messenger of Allah, I reached out my hand (to give you) a letter and you did not take it." He said: "I did not know whether it was the hand of a woman or a man." She said: "It is the hand of a woman." He said: "If you were a woman, you would change your nails (by dyeing them with Henna)."
The Prophet of Allah disliked ten things: Yellow dye, meaning Khaluq, changing gray hair, dragging one's Izar, wearing gold rings, playing with dice (Ki'ab), (a woman) showing her adornment to people to whom it is not permissible for her to show it, reciting Ruqyah, unless it is with Al-Mu'awidhat (Verses seeking refuge with Allah), hanging amulets, removing to ejaculate in other than the right place, and taking away the milk of an infant boy (by having intercourse with his mother)- but he did not say that this is Haram.
"I heard a woman asking 'Aishah about dyeing the hair with Henna. She said: 'There is nothing wrong with it, but I do not like to do it because my beloved- meaning the Prophet - disliked its smell.'"