A Prairie Home Companion is a wonderful movie about accepting death and being apreciative of the time you have. "Is this really the last show?" asks one character to Garrison Keilor. "Every show is the last show," he replies. The movie is about saying goodbye and about letting go. About enjoying what you had and cherishing those memories. Also - it's about the midwestern philosophy that just because something is bad doesn't mean you have to dwell on it. You just keep going.
Altman does ensomble pieces, which not a lot of people are used to. Most movies have a set plot, follows one or two characters through a very easy to follow story arch. In Altman movies, there isn't one character to follow, there isn't one story line to pay attention to. His movies are about finding the theme and finding how the characters interact with each other. So really, Robert Altman movies AREN'T for everybody. It's a different style of story telling that appeals to some, but not to everybody. But it was simple and sweet movie, with wonderful acting, fabulous writing, and amazing music.
Life doesn't always end with a happy ending. Sometimes there aren't last ditch efforts to save a show or a big ta-da with a fanfare at the end. Sometimes, it just ends. As the dangerous woman said "There's no tragedy when an old man dies."