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You need to collect five keys and find the exit to unlock the door. Once you’ve unlocked Purification in the shop (unlock this ASAP), you can instead look for two keys and the “Gun Emblem” to open the chest near the exit. Inside the chest is a weapon that, once collected, will start a fight phase with the Widow. When she’s been defeated you can then purify her for extra points and an Animated scene. Purification is the best way to earn points.
Check the map (M) and try to figure out where you are. Use Scanners only when you need to. “Strange Bottles” are scattered about that can stagger the ghost letting you escape easily. Unlock both key detection tools as early as you can to make finding keys easy. So long as you collect some keys, dying will still net you some money but only a very small amount.
If you’re having issues outrunning the Widow, make sure to close doors behind you to break line-of-sight. If you need some extra speed, try crouch jumping while sprinting.