Decide what story you want to tell. Is it one you've made up completely or is it a story based on a popular urban legend or real life ghost story? If you're basing your story on an urban legend or real life ghost story, you need to decide which elements of the story you will keep and which elements you need to leave out in order to tell your ghost story.
Tell the story behind the story, especially if your story is based on an urban legend. Urban legends tend to be very short stories with no real background. Develop original characters and backstory around a popular urban legend. Give an urban legend greater authenticity by making it your own.
Start writing your ghost story with a supernatural event. Introduce the ghost in an unexpected way. Maybe your main character is getting ready to go somewhere early in the morning. Write his routine. Describe it in a few paragraphs, adjusting your readers to the normality of the scene before you introduce the supernatural element that will set the story in motion.
Introduce your main character's story and show us why she is getting a visit from the ghost. Is there a personal connection? Does the ghost need to relay information that only your main character is qualified to deliver? Establish, or at least begin to, establish the connection between your main character and the supernatural element of your story.
Be aware of setting. Atmosphere and setting are all important to writing a good ghost story. Empty train stations, old hospitals, old houses, and bus terminals in the middle of the night are examples of great atmospheric locations. A stretch of two-lane blacktop in the country or a cornfield in the middle of the night are other examples. Use locations in your story that are predisposed to hauntings.