On the continuum of narrative conventionality, let’s put Blue Velvet on the “essentially straightforward narrative” end. Inland Empire goes all the way down on the other side. (Mulholland Drive is on the 2/3 mark towards Inland Empire, and Lost Highway is between those two, and closer to Inland Empire.)
The easiest way to try and “make sense” of Inland Empire is to think of it in much the same way that you think of your dreams when you wake up in the morning. A does not follow on logically to B, but they’re linked through your subconscious associations. Inland Empire is David Lynch and Laura Dern’s dream, rendered on cinema, and that’s what strings the seemingly disparate and incomprehensible elements together.
All that being said, if you’ve got no patience for that sort of thing, give this a miss. Longtime fans of Lynch may find themselves frustrated or bewildered, but not disappointed.