Years (possibly centuries) ago, the Spirit was just a normal human male who went up a peak in America called Devil's Peak, but never returned. He was meant to have died on the mountain; from unknown causes. They said his spirit became a Wandering Mist, and would roam the earth for a year, seeking a human host, and it would latch onto a host around the Harvest Moon, which was the day he had died. Thus, the Spirit could be anyone.
A young girl, Jenny, was staying with her friend Tyler at a hunter's lodge, and she began to suspect her friend was the Spirit, after he had shown eerie signs (such as his dog refusing to be with him and his inhuman looks) and she began to avoid him. He had told her the story of the ghost, and she derided it first, but then she began hearing a voice calling out from the night at her, saying "Jenny, It's cold outside" and soon she began to think she was being haunted.
One night, Tyler began to bang very loud at the cabin door and he demanded to be let in. He said the Spirit was after him. Jenny had been told that if she opened the door to the Spirit, the Spirit would possess her and force her to walk the earth as the ghost, and then she refused to open up. However, Tyler's dog appeared and fought him off, and she was relieved, and as Tyler ran off, she opened up the door. However, the dog looked up at her, being possessed by the Spirit, and grinned and said "Thanks, it's cold outside" - the Spirit's catchphrase.