The ghost is trying to motivate Reimu to defeat Baal by turning everything against her. Reimu, you see, has beaten the goddess of Makai (with my help), Makai being a place much like this Netherworld, possibly even another name for it. She's likely one of our best chances for getting back. Not that I quite want to yet.

I have half a mind to tell her about all this, but we don't get along that well. <3

Still, I'm not even sure Reimu can do anything about Baal.