This movie consists of reality, dreams, and hell.
So towards the end of the movie when harry is shot, he enters a black room through elevator doors. Couldn't this represent him dying and entering hell? And at the very end when he gets in his car and is in the middle of nowhere, couldn't that represent hell? A place of hopelessness, loneliness, and no escape for harry? Just a thought.
That is an interesting theory.
I felt the ending went like this:
Harry is being questioned after killing Peter. The questioning Officer is summoned by another to speak privately. He is told that the matter is resolved, and there is no reason to detain Harry anymore (part of the coverup with killing Peter as the only "loose end" in the murder botch job). That being said, the police are instructed to let Harry go. Now that he has enacted revenge and eliminated the only other person tied to this conspiracy/murder, the Montana Police can let him go on with his life...
What do you think?
** John Kotynek