It starts with the youngest princess going to an underground ball and she dances with a demon, but she thinks it's a prince, at midnight. Her father, the king, got mad about her shoes because she's going through too many shoes.
He orders guards to watch over his daughters. The other 2 princesses end up going with the youngest and then are followed by one of the guards. In which they thought he was asleep, They went through a stairway in the girls floor and at the bottom they were met buy the three guys who in disguise were demons or monsters one of them.They would dance the night a way as the guard followed he went through I think three different forests a diamond one, then a glass, and then gold. The following night I think the demons were going to trap the girls there but once again the guard had followed them in the end he rescued them showed the king the items in which he had taken from each forest,and ended up marring one of the girls.

This sounds like a variation of the 12 dancing princesses.

Check the full list of adaptations at wikipedia to see which one u want http://en.wikipedia.org/wiki/The_Twelve_Dancing_Princesses

But I think it's the following: The anime series Grimm's Fairy Tale Classics, features a twist within the story (with the princesses being reduced to 3). It turns out demons live within the magical place and have placed a spell on the fair maidens before the soldier realizes the truth and rescues them. He marries the eldest daughter.