The Collector (2004) - 2x02 - The UFOlogist

Morgan's client is a UFO buff obsessed with alien visitations to earth; so obsessed, in fact, that he willingly sold his soul for proof that aliens exist, and believes he's received it. Morgan thinks the Devil has cheated the client, by deluding him into believing in proof where none exists, but ultimately has to play along to get the man to seek redemption.