The Co-Worker that Thinks They are your Boss

We had a new responsibility at work, and I was shown two different ways to do it by two different people that I work with. My supervisor was going to double check my work, so I asked her for clarification on which the proper way to finish the work. She informed me, and I've been doing it this way ever since. However, the co-worker that showed me how to do it the incorrect way had been double checking my work, and told me it was done incorrectly. I informed her I was told by my superior the best was to do it, and I was going to continure to do it that way. She said she was going to keep double checking and fixing my perceived "error."
Keep in mind, this is a co-worker. I have to work with her again, and I'm sure she'll double check my work and "correct." it. I'll have to tell her again she's a co-worker, not a leader. She should really just focus on her own work and not worry what other people are doing, but she's not that type of person. She's told me how to do things in the past, but I just ignored it, because again, it doesn't matter. If you've had annoying experiences with co-worker please share, I'd love to hear about it and how you handled it.