I tried everywhere, but I couldn't find the name for this anime I'm looking for.
Basicaly, only thing I remember is girl with tiny yellow walkman, and, when she turn it on, she jumps into some strange trips (maybe another dimension) filled with monsters.
Also, in some part of the movie, you can see her (after trip) that she stands on the street and looking in some man. It's like 'coney island trip' from 'Requiem for a dream' movie. She stands there, and at the end of the street, there's a man or a woman. Also, there's a lot of trees an leaves around them.