What happened in the movie Mulholland Drive?

Spoilers and such below.

Its been a while since ive seen the movie so my memory of it is a little hazy, but what exactly was that blue box? Like wtf happened in that movie? Can someone please explain this movie to me?

This is one of the only movies i havent been able to figure out. The only thing i really seemed to grasp from it was lesbians are hot :P.