Here's why:
* Prepositional phrases start with a preposition (like "with," "on," "at," etc.) and end with a noun or pronoun (the object of the preposition).
* In this case, "with" is the preposition, and "red hair" is the object of the preposition.
The sentence is a bit odd because "Jane" is likely intended to be the girl's name, but it's not grammatically clear. A more standard way to write this sentence would be "The little girl with red hair, Jane," or "The little girl named Jane has red hair."