Grey Lady

[ronale7]

No: HPFGUIDX 40395

This spring my husband and I watched a PBS special about the World of 
Harry Potter.  It dealt only with Book 1 and spent several minutes 
talking about the Grey Lady.

I can find no reference in Book 1 or the other books about this 
ghost. There is a passage (chapter 12)where Harry and Ron pass the 
ghost of a tall witch, but she is not identified.  Can anyone help me 
out on this?  Where is the grey Lady identified as such?

--Ronale7