Some suggestions
I've run into the problem before, both as a player and a GM, and it can be difficult to deal with (in my experiences) if you approach it the wrong way.
Fortunately, from the situation you described it doesn't sound like the player is intentionally trying to disrupt the game or break the rules, but more likely is having trouble finding that spark that he or she is looking for.
For starters, let's address (quickly) what NOT to do: Don't play "Hard(butt) GM!" or try to "lay down the law." You're looking for a solution, not a confrontation, and it sounds like the player is interested in having a good game, and is being a pain incidentally, not intentionally. Unless the player is extremely disruptive, such tactics generally anger the player, anger the GM (funny how that works), and set a really foul mood for the group in general. Sometimes it must be done, but this doesn't sound like the case.
Now, for solutions. I'd go at this from two angles:
First, introduce the character to the idea of "slanting." Many times a lone-wolf style roleplayer feels that they need to go off on their own because their "character demands it." The undead rogue has no reason to stay with the party, or the ancient wizard would rather study his spellbooks than go adventuring.
Slanting is actually a really simple idea that many very good players just don't think of. If you're given an essentially non-critical choice, pick the choice that helps the group. That doesn't mean you have to give up your character concept, but put a bit of effort into helping the group out. Perhaps that undead rogue owes a big debt to one of the party members, or the ancient wizard thinks they'd be more likely to find those powerful magical tomes on the move instead of sitting at home. The player doesn't have to sacrifice concept, they just have to give 50/50 decisions in favor of the party. The other players can always help with this, but it is effective and remarkably simple.
The other piece of advice is to help the player connect with other characters. Oftentimes I do this intentionally with newer players to help them come into a group, but even an experienced player can get alot of mileage and entertainment out of "buddy" characters. Maybe the new character is somebody's bodyguard, or a family member or in some other way directly connected to another PC. This should help the new character fit into the group extremely fast and also gives many easy reasons for slanting actions in favor of the party.
So, long post short, tell the player to cut some slack in favor of the party and create a few story connections that keep the character in the group.