How can I finish the game?

[Sezaax]

How can I end the Game?

[finbikkifin]

Follow the lights every night, until you reach Winter. Then, wait for nightfall and enjoy. There's a surprisingly extensive guide or two for this game, but you'll figure it out.

[Sezaax]

And what must I do in the third night? And what does the fox ghost mean?

[CtenosaurOaxacana]

There's very little 'must' in the game, its mostly about exploring and relaxing. :)

[finbikkifin]

If you just want to finish the game, all you have to do is reach Winter. Winter's night triggers the ending.

Mostly just relax and look at things and listen to things, though. The sound is really well done.