90's movie about an alien teaching a girl special powers and then rescuing her

I saw this movie when was a kid, maybe 6 or 7, and I only remember parts.

There’s a woman who I think is an alien. She is short with blond hair and when I remember first seeing her she is wearing a weird costume. It may be something that’s supposed to make her look like a fairy.

She hangs out with the daughter of someone connected with the military (perhaps a former pilot or soldier). She teaches the daughter how to do things using some kind of power. I remember a scene where the alien teaches the girl how to teleport her teddy bear into her closet and when she does it, the alien says she could even send "teddy to the moon". The power thing looks like a ball of light.

Sometime later, the government is looking for the alien and takes the daughter, perhaps to use her as bait. But the daughter can kind of astral-project, or at least has a bit of telepathy because she’s sitting in this glass cage and starts to rock back and forth and that power thing happens and she’s either gone or sending an image of herself somewhere.

Later when the alien and the dad rescue her, the alien has no power left and the dad says, "Can’t you make one of those… things you make?" and the alien tells the girl to "Make a ball." And she does, and it works.

I thought for sure at one point that Michael Madsen was in it. Like I was VERY SURE but I can’t figure out if he was? It’s a movie from the 90’s I know that.