When we accept Christ as our savior truly in our hearts, then the Holy Spirit enters us. So what is the Holy Spirit? Some call it the Holy Ghost, which I find a bit misleading as a ghost is supposed to be the spiritual remnants of a dead thing and the Holy Spirit can be defined as nothing but life giving in my opinion. The Holy Spirit is part of the Holy Trinity of the Father, the Son and the Holy Spirit. These are the three essentials of GOD only as it relates to us. GOD is everything. HE is eternal and is the creator of all things.
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I believe that GOD is too great for us to comprehend, so HE inspired us to figure out a more understandable way to imagine HIM. I understand it as all three parts of the Trinity are GOD, just three different characteristics as they are relevant to us and our faith. GOD is, was and always will be and HIS Son, Jesus Christ was HIS way of manifesting a vehicle for us to be reconciled with HIM.

Jesus was a man. He even referred to Himself as the son of man. He was the perfect man though as He was begotten by GOD HIMSELF. When Jesus received the Holy Spirit in the river Jordan, then He became one with GOD. The way I understand is it is that Jesus was GOD in human form. The Holy Spirit of GOD was in Him. His human form required Him to converse with GOD as we do but in essence, He was GOD on earth.
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The Bible describes the Holy Spirit entering Jesus in the form of a dove descending from heaven. Early Christians, such as the first apostles describe the Holy Spirit as a visible entity. Unfortunately we can't see it when it enters us and for me at least, it was not an immediate transformation. The Holy Spirit enters me by constant invitiation. In fact I beg for it to continue to take over my soul on a daily basis and some days I feel it more strongly then others. It is an inspiration form heaven but the transformation comes from within and demands that I live a more righteous life. To be honest, its a bit difficult for me to describe but I can swear to this, the days when I feel the Holy Spirit more are the days that I feel much more at peace with myself and for me, thats what its all about.