Maths and statistics are sooooo annoying sometimes arent they ?

Look at it this way:
Lets say you pick the right door the first time (33% chance of doing so). Then, after you change your opinion, you ALWAYS fail, so you have 33% chance of failing when you change.
The other choice is to pick a wrong door the first time (66% chance of doing so). Then, after you change your pick, you ALWAYS win, as the other wrong door has been opened by the quiz master, so you win the 66% of the time when you change.
Clear enough ?