ironically, despite much discussion, and the nagging influence of the philosophy of art suggesting that perhaps meaning is not left up to the creator of a work, it's been pretty much confirmed that there's nothing particularly metaphorical or clever about Mullholland Dr.
David Lynch was supposed to have been working on a TV miniseries or something, originally, but it got canned, so he just expanded things, throwing in whatever he felt like (i'm fairly sure that he said that in an interview). the part about the blue box? seems like a nice place to say that the movie is going from the dream world to the real world, or vice-versa, but evidently, Lynch just cooked that up on the spot, because he (essentially) though it would be cool.
while a beautiful movie (Ms. Watts doesn't hurt, at all), with excellent pacing, focused performances and direction and very tight scoring and editing, the script/storyline are just evidence that David Lynch has lost interest in communicating rationally with people through his work.
it's still well-worth a watch. if you liked this, check out Pi, directed by Darren Aronofsky. it's similarly confusing (though much more manic).