Well that's a broad topic. Try finding a book on astral projection and checking it out for yourself. Demons as well as spirits, find a good demonology/spirit book, or some type of basic guide [Raymond Buckland has many books which could help like The Spirit Book, Bucklands Book of Spirits, A Pocketguide to the Supernatural and many many more]
Start with one, focus your efforts learning and connecting with it [spirits, demons, other realms/planes] then move to the next when you feel ready. Doing all at once will confuse and you'll loose a lot of energy trying to do it all.
What is your primary question about this topic?