How they end up in the movie?

They never explain it. It's one of those movies where something magical happens for the protagonist's benefit (moving on) without an explanation. PLEASANTVILLE and LAST ACTION HERO (movies with similar premises) had a magical object that took the characters to the other world (a remote control and a ticket), but those didn't gave a reason as to why there was magic in the 1st place.

Other popular examples (that aren't about going inside a movie or show) without explanations are BIG and LIAR LIAR.

Maybe it's all a lucid dream occurring in the mind of the main character as she's laying on the ground in the burning theater or a hospital bed. The how isn't relevant.

Saw this last night on Netflix and wondered the same thing, then remembered the (brief) shot of the machete guy in the cinema before the fire started. I like to think that the machete itself was the magic cursed item looking for more victims, and when Max uses it to escape the fire by cutting through the cinema screen, the magic machete cuts them a doorway into the movie.

And really liked this movie: I'd put this in a double-bill with Tucker & Dale Vs. Evil.

Yes, this movie decided not to provide any reasonable explanation as to how the suddenly ended up inside a movie. When the movie was about to end it seemed like they were going for the simple "it was all a dream" explanation. But apparently they discarded that explanation too. Well, it doesn't really matter.

I just saw this on Hulu last night, and I think Max's longing to be with and have closure (say good bye and I love you) with her Mom, was so intense, it dragged her and her friends into the movie so she could fulfill that. However, since it was a double feature, they had to play out the sequel.