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I remember some parts of a live-action sci-fi movie I saw sometime in the 90's or maybe early 00's.
The movie was set in present day and centered around a small girl, about 5 years old, I think. The girl had psychic powers and there was an alien sneaking in her room at night to teach her to use her powers. The alien was depicted as a young human-looking woman, however she could also shapeshift and teleport. The girl hadn't progressed very far in her training, but could make a "ball" of psychic energy.
At some point the military caught a whiff of this and did what the military do best - they captured her and wanted to study her. Unfortunately they didn't teleport-proof their holding cell and the little girl made a big enough ball and teleported to some random place in a nearby city.
Then there were some chase scenes, culminating in the girl, the alien, and another male character (I think) fleeing in the alien's spaceship with the military in hot pursuit in their helicopters. The alien's spaceship could cloak, but unfortunately it didn't extend in the infrared, so the military just put on their IR goggles and fired some heat-seeker missiles. Things were tense there for a moment, but, of course, they escaped unharmed.
The movie ended on an uplifting note with the alien saying something along the lines that the girl is the first one of many and that the psychic powers are the next step in human evolution, and about to become a lot more common. And, of course, great things to come, etc.