As stated back in part 2 of the analysis, the second of director David Lynch's ten clues to unlocking the movie is, notice appearances of the red lampshade. The red lampshade, which is located somewhere where Diane is staying or living, is shown twice in the movie, but they are both depictions of a single moment in time, as described below.
Top left: Mr Roque initiates the call chain by telling the person on the other end of the phone, "The girl is still missing." Top right: A man in a sleazy-looking place gets Roque's message via another man, then he hangs up and calls another number. The manner in which he dials the number, i.e., just 2 or 3 digits are dialed, indicates that he's in the same building or complex as the person whom he's calling. Above left: The phone by the red lampshade rings. However, we don't know who is being called until later in the movie. Later in the movie: Above right: We hear the phone ringing, and see the same red lampshade and ashtray again; then, Diane answers the phone. Just before this, Diane is shown lying on a couch, wearing a white top and blue denim shorts (not shown here due to partial nudity). She is in 'fantasy/dream/hallucination' mode at the moment the phone rings, as indicated by the 'blurring' of the ceiling the audience sees (through Diane's eyes) just several seconds prior to the phone ringing. Since the number and positioning of the cigarettes in the ashtray is the same in both showings of the red lampshade, what the audience is supposed to realize is that it's the man with the yellow phone who's calling Diane. Since Diane is in fantasy mode, she's wearing different clothing than she was while lying on the couch, and she imagines that it's Camilla calling her. She hears Camilla's voice say that a car is waiting to take her to 6980 Mulholland Drive.
[UPDATE 10/17/11: There is actually a third showing of a red lampshade in the movie, between the two showings discussed above: We briefly see a red lampshade in the window of what appears to be an antique shop, as the hit man, a prostitute, and her pimp are leaving Pink's. Thus, perhaps a connection between red lamp-shades and prostitution is being implied. (In the past, urban areas where prostitutes walked the streets were known as "red-light" districts - see here). It may even be the case that Diane is, or formerly was, a prostitute or call-girl.]
