Near the beginning of the movie in Winkie's, Dan (facing us) and Herb (sitting across from him) discuss Dan's dream about the man behind the restaurant. This scene actually depicts a dream of Diane, in which Dan represents Diane, and Herb is Dan's psychotherapist. In reality, however, Dan is Diane's psychotherapist. (If Herb exists in reality, he may be some sort of agent.)
At a much later point in the movie than the scene shown above, but earlier chronologically speaking, Diane makes an arrangement with a hit man to do away with Camilla. The blue key the hit man is holding, and which is later left with Diane, is probably a key to the back door of the blue van we saw earlier in the movie parked near Pink's. (The back of the van looks like it has been broken into, so the hit man doesn't need the blue key anymore, since the lock is broken. Thus, it's available for him to give to Diane.)
While Diane is arranging things with the hit man, she happens to look over and see her psychotherapist standing at the register. The therapist, who just happens to be in Winkie's at the same time the hit's being arranged, overhears the conversation, and he realizes that his patient (or former patient), Diane, plans to have an actress killed. This is why the two detectives start looking for Diane later - the therapist notifies the police of the planned hit. Note the chronology of events here: Diane saw the therapist in Winkie's, then later, she had the dream about him.
