This is what I understood:
Yes those other people are ghost, friends of this Sheila girl. They want to hang all together again so Sheila plans to commit suicide by throwing herself out of that balcony (she is quite stupid for not realizing that the height is not enough to kill her but whatever) so she tries and tries with no good results. But something unexpected happened, the ridiculous act of falling and falling again is amusing for the ghost so they call other ghost to watch.
Sheila becomes some sort of “ghost celebrity” (that’s why she always put some make up, so she can look good to her ghostly fans). At one point Sheila tired of her fame goes to a road hoping to get hit by a car. With no results she tries to kill herself by falling from the balcony again (or by the several head traumas she got from the previous falls). By the reactions of the ghost we can see that the show became repetitive so it’s not amusing for the ghost anymore and that Sheila failed to kill herself again as she gets back to our colorful and living reality.
It’s not like the N time “Does It Offend You Yeah?” goes to a “indefinite” hiatus? If I recall correctly after their first album they said the same thing and voila 2 years later a new album. I hope they come back.