you could always try looking into the history of your house.
You say they took stuff with them they weren't supposed to....Like what, if you don't mind me asking?
Renko. Have you gone to the library and researched there yet? I don't know how big your town is, but even in middle sized towns they have a local paper. Try looking through back issues of those for murders/suides/accidental deaths. I at this point is going to assume that it is a spiritual entity as opposed to a demonic one because it does not follow you, and it is centeralized to that room. Also how old is your house, and where (meaning state).