I don't really think that the first ghost you saw was the devil. She might have said that merely to frighten you. Who really knows? Can you remember if there was a 'bad' feeling when you saw this shadow? Or were you just scared? Considering the woman wasn't afraid of it, that spirit was probably seen often and it probably wasn't a threat to anyone. How old were you at this time?
I'd love to hear some of your other experiences.
Anyway, a demon is an entity that people believe is 'evil.' Most people think that demons can, and will, hurt you if provoked. This is why almost everyone tends to stay away from whatever they think may be a demon. Ghosts, or spirits, are likely someone who has stayed on the Earth for whatever reason after they died. They are usually friendly, or atleast they leave you alone. These are just my opinions though, you can find a lot of different beliefs and theories out there.

By the way, welcome to the forum.