If they honestly believe all this stuff, you should tell them to talk to their local priest. If they are not a member of a parish they should become one. Their priest will help them with an exorcisim if he is convinced they honestly believe they need one.
They could also get some books on fung-shui (sp) Perhaps rearranging their furniture will help bring in more positive energy and force the negative energy of the spirit away.
Wether either of these will work or not is up in the air, but just doing something may help them feel better.
If it were me and I was convinced it was real I would move. No house is worth being worried every second you're in it.