Now, when you write a Metro application using .NET or C++, there's a compilation step that takes place to compile the source code into an executable (EXE and/or DLL). The executable and any dependencies are packaged into an application package (an .appx file), which is really just a renamed .zip file that contains the files, a manifest, and cryptographic information to ensure that the contents were not tampered with. Aside from WinRT libraries, everything that is needed to run the application must be included in the package.
Web context URIs start with the "ms-appx-web" protocol (if the resource exists in the .appx file), or the "http" protocol (if the resource is to be loaded from a web server). Specific differences between Local and Web contexts is documented here: http://msdn.microsoft.com/en-us/library/windows/apps/hh465373.aspx
In practice, an IFRAME is used to introduce Web context content into a Metro application. In this way, the outermost web page runs in the Local context, while the IFRAME's content runs in the Web context. It's possible for the IFRAME to be styled to fill the entire screen, if needed (and the outermost web page becomes just a thin hosting shell).
A common scenario is that data in the Local context will need to be sent to the web context (and vice versa). For instance, code running in the Local context may listen for events fired by the device's Compass sensor. When a new directional heading is established, the Local context code will need to send the new data to the Web context code for further processing.
HTML5 defines a means to do this cross-document communication using the window.postMessage() function. In the case of the new Compass reading, the Local context code would post a message to the IFRAME. The Web context code would need to register an event listener for the window's "message" event.
Want to try these things out today before Windows 8 launches this Fall? Release candidates are available for free:
Windows 8 Download: http://aka.ms/JenWin8
Visual Studio 2012 Download: http://aka.ms/JenVS2012