Mizuiro (2002)

The protagonist, Kenji, is living with his adopted sister Yuki, who admires her older brother and harbors a slight secret crush on him. One day, after a certain night, a girl - Hiyori, their childhood friend - begin to appear in Kenji's closet. Moreover, her body is transparent, and she has gaps in her memory. As they struggle to figure out the mystery behind Hiyori's state, Kenji begins to realize his forgotten feelings and Yuki suffers with her secret.