Well I don't know much, but I do watch a lot of those ghost hunting shows, so I'll just pass along my knowledge from what I've seen.
1) Try doing an EVP. EVP stands for Electronic Voice Phenomena. Basically what do you do is a get a voice recorder and sit in the room you think is haunted and ask questions to the spirit/entity/ghost/whatever. The theory is the recorder will pick up voices you can't hear. More info here:
http://www.ghostpix.com/gis/E.V.P.html2) On those shows a lot of time they get a physic or medium to come in and try to pick up on energy and find out whats going on. You could also try seeing if there is any kind of ghost hunter society in your town. They may also be able to shed some light on your situation.
3) Have a priest come in and bless the room. (I assume you would need to have him do it, or at least show you the proper way of doing it).
4) Call ghostbusters?

I've also heard that taking pictures can sometimes pick things up. So try taking a few pictures and see if you notice anything. If you do, also post them here.