I tried to find this building in 2001, but the girl at the gas station told me there was no such thing. I did, however, see Shreve High School, which the poet James Wright mentions in one of his best poems, "Autumn Begins in Martin's Ferry, Ohio."
Later, a farily confident Martins Ferry resident assured me that the Mansion does exist, that it's been divided into apartments, and that it's definitely haunted. It stands at 210 South Third Street. I will have to check this out next time I'm in Martins Ferry. It's too bad I didn't get the chance to in 2004, which I spent most of in that town, working on the presidential election, but I didn't know the address at that time.
Poets.org: "Autumn Begins in Martins Ferry, Ohio" by James Lowell