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Thank you Zacsmaster,
I followed the link you gave, and with a bit more searching found the actual story (complete). I have just read it on-line, and it really was scary but very subtle.
Thank you msEVP. I also found the Robert Burns poem/song as well, which is nothing like the ghost story, M. R. James only borrowed the title of the poem for his ghost story, and not the content. The original short story was in an old book published in 1904. As I work in a rare and antiques book shop, I think that must have been where I saw it a long time ago.
Many thanks to you both.