As it stands, most of your questions are easily answerable by reading the bible, and quite frankly if you don't believe in that you're never gonna believe in the supernatural. You are asking for physical proof on the existence of a non-physical world. I suggest you figure out exactly where your interest or concern stems from. Otherwise I can't help you.
As for the other question...
I completely agree with everything DarthDude said regarding demons. If there is one thing I've learnt in the recent years is that it doesn't matter how much you teach someone, if the student is unwilling to embrace the notion that its in fact truth, nothing will come of it. All I can advise, is for you to research and come to your own conclusions.
Um... I don't believe the Bible. I am a Hindu, for the record. And perhaps I should phrase it differently: by evidence, I mean I would require firstly, at the very least, some reason or justification for believing in a 'non-physical world', or 'supernatural' things. Otherwise I might as well go about believing in giant invisible catfish creating planets, or subatomic spider monkeys acting as the origin of headaches. If there isn't any reason to think that it's real, then it probably isn't.