How old are you? This sounds very similar to something I experienced as a child.
I used to see a pale woman in a white sundress and a wide straw hat with a ribbon on it (yeah, it was really detailed). She never said anything to me, but I too was terrified of doors and windows, especially at night. I don't know if the two were related. I would experience a kind-of paranoia everytime I was alone, and I wouldn't even sleep in my bed.
I eventually "grew out of it" I guess. Still interesting that the experiences are so similar! Very interesting.
Personally, I think you should talk to someone about it. Not that you're nuts or anything, but it can be very therapeutic to talk to someone with experience with neuroses and anxiety. Let me know, though, if you find out anything about it.