Every night, I have to go in my 3yo's room and tell the bears to go home. Lol. She isn't scared of them, but they aren't allowed in her room when she is trying to sleep. Apparently, the baby bear is quite noisy. ;) sometimes, it really DOES help to do the checks/send aways... Their imaginations are vivid enough, that it doesn't matter what you tell them... They still think they see these things, and they still feel scared. Heck, I know there are times *I* get scared in the dark, even though I KNOW there is nothing in my room to get me. And I'm an adult. Lol.
My way of handling that is to make whatever she is scared of into something nice. When my DD's bear thing started, she was scared of her play house in her room. So when I asked her to tell me what was scaring her, and she pointed at the house, I poked my head in. Originally, I did try to tell her that nothing was in there and had her check it herself. She was still scared, so after a few weeks of trying to convince her nothing was there I decided to try another tactic and make it fun. I asked her what was in the house, and started naming off animals. When I got to bear, she decided that's what it was. So I poked my head into the house, and said, "you silly bears! It's bedtime, you need to go home!" And that was that. Now, any scary shadows or noises in her room get blamed on the bears.
I think it really helped to give her a positive thing to blame for things that were scaring her. Instead of hearing a creak and thinking a monster is skulking around her room, her mind jumps to those silly bears.
At her age, I think it's more of an imagination/ phase than a paranormal experience.
I would suggest giving her a small flashlight to shine at the 'lady' when she thinks she sees it, or move her night light to a different spot in her room if she has one. I had to move my DD's from across the room to the socket next to her bed because the shadows were scaring her. I figure that it changed the shadows drastically enough that they didn't freak her out any more.