Wash the sheet in hot water first. Polyester sheets won't take the dye, it has to be 100% cotton.
Then dye the sheet following the directions on the dye package.
If you dye the sheet in the washer, run an empty cycle afterwards with some bleach to make sure all the dye is out.
In all honesty, I'd look around for the sheet int eh right color. Try www.brylanehome.com they've got every color under the sun and are generally pretty cheap.
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