It's wonderful when children begin to become enthralled with science-based activities, even if they don't understand how/why it happens. Here's my granddaughter, Amie, explaining how to stick a balloon to the wall.
For the real science bit, here is how it happens. When a balloon is rubbed against the hair it becomes negatively charged. When near a wall, the charged balloon is attracted to positively charged particles in the wall and can "cling" to it.