1. The knock at the door was the detectives coming to talk to her. We don't know this for sure, but in her mind it is ... her neighbor friend having just told her that the detectives were looking for her. It is enough to make her snap.
2. We also encounter smoke at the beginning, as Rita crawls out of the limo after the accident. To me, this links the smoke from the gun with the beginning of her dream.
3. This was her image of the perfect Hollywood moment, the one she was supposed to have, but was denied. Director is casting his lead role, turns just as she walks in and knows she's the one! Instead, she must leave, and he turns back and casts the role based on instructions from the mob.
4. A very creepy moment. Betty+Rita walk into the room together with the blue box, knowing that this is what the key will open. Rita turns and Betty is gone. (Watch it ... it's a very creepy disappearance.) Almost in a whimper ... "Donde estas?" ("Where are you?") The two women are now one. To me the Spanish seems to come when someone is talking in their sleep ... or perhaps waking up. The jabber in the theatre (named "Silencio") is all translated. "No hay banda", "No hay orchestra" ("there is no band, no orchestra", all is an illusion). (This is also repeated in French, BTW ... a reference to Diane's Canadian origins?) And Cookie introducing "La Llorona de Los Angeles". ("llorona" can best be translated as "one who cries".)
BTW, the "Donde estas?" are the last words spoken in the dream (besides calling out Betty's name once more). And if you believe the post-suicide-dream theory (which I am leaning toward), these are chronologically the last words of the movie.