The plane engine that crashed into Donnie's (Jake Gyllenhaal's) room came from a portal in the future. After the engine goes through the portal (at the end of the countdown), the whole world rewinds back a month to the beginning of the movie. This time, Donnie gets killed by the plane engine, instead of being led away from it.
Thanks, JoanE and , who adds the following information from the DVD commentary track:
A simple explaination of the movie and it's ending based on the DVD commentary is that Donnie had to make sure, with Frank the rabbit's guidence, that the chain of events that caused the engine to go through the portal occurs. And if he failed, the portal would have caused the end of the world (like Frank said).
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