I remember this episode quite well and it's one of my favourites of the series of a whole.
But you need to watch the episode to get it. Firstly, at the start of the episode the shifter is disguised as the bank manager. He his seen eying up a brunette bank teller(who ominously we don't see for the rest of the entire episode) on a security camera.
Secondly, when chaos erupts and the woman's "body" is discovered. The woman is there, sees her "body" and faints. It's clear the shifter is trying to deflect attention, by posing as a corpse. What was happened is that the shifter, must have attacked and killed the brunette teller earlier offscreen(she was it's escape plan all along) stripped her naked and hid her somewhere discreet. The shifter then dons her underwear and fakes being the corpse of the blonde teller, we see here. To make the Winchesters think the blonde is the shifter.
That's always what I thought whenever I watched this episode.