Can you please help me to identify a horror movie?

Sounds like an episode from the "Masters of Horror" TV show. Episode eight from the first season, titled "Cigarrete Burns" directed by John Carpenter.

Plot from IMDb:

The bankrupted owner of the movie theater Vogue, Kirby Sweetman, is hired by the eccentric private collector Mr. Bellinger to search and find the cursed horror movie "Le Fin Absolue du Monde". This film is considered lost and magic, and has been presented only once in the Sitges Festival, driving the audience insane and violent, causing bloodshed in the theater. The director, crew and everybody involved in its production has also died. Kirby owes US$ 200,000.00 to his father-in-law, who blames Kirby for the death of his daughter Annie, and accepts the assignment to pay his debt and for his own satisfaction. Bellinger shows him a souvenir from the film in his basement, a chained angel that had his wings torn off in the movie. Kirby travels to France to meet his contact and has glimpses of his beloved Annie, initiating his journey to hell.

http://www.imdb.com/title/tt0643109/

And here is a trailer:

http://www.youtube.com/watch?v=S18e0dS1y8Q

Yes, it was John Carpenter's "Cigarette Burns," an episode from the first season of Masters of Horror. It starred Norman Reedus (Daryl, from The Walking Dead).

That kind of sounds like The Ring but without film directors or angels.