Can you explain me why after the Josie's death BOB appears and says to Agt Cooper :"Coop,what happened to that Josie?"(or stuff like that),and why after that she screams?Did Bob kill her or?

I think Bob killed Josie with fear---she was already afraid of Harry finding out about her secret life---of Andrew, Eckhardt...and then there was Dale standing there, who knew everything. She had tried to kill him and failed, and now she knew that he knew all of her dark secrets---her fear drew Bob to her and that's all she wrote. (If you read the Coop autobiography, Dale's mother dies of an anuerysm--after having a dream of a "bad man trying to get into the door"---the theory is that Bob killed his mother with fear as well.) And then---since Josie was both afraid *fear opens the door to the Black Lodge*, and in love with Harry *love opens the white*---her spirit/soul got caught in limbo, which is why she ended up trapped in the wooden knob on the dresser at the Great Northern.  Bob's, "Coop! What happened to Josie?!" is a taunt...later Coop says, "I think it was the fear that killed her." I don't think that Josie saw Bob---but I very much believe that he increased her already present fear. Coop saw him because he is gifted *and if you think about---he's damned as well...given what happens to him in episode 29*.