If you choose the door with the prize, you win the prize. If you select one of the doors with nothing behind them, you lose.
This, then, is the puzzle. Specifically, are your chances of winning better if you:
Option A: Keep the door that you originally chose?
Option B: Trade for the other door?
Option C: It doesn't matter if you trade or keep the original door.
Now, most people would probably answer that the "common sense" answer, Option C, is the correct answer; that is it doesn't make any difference if you trade or not, your chances of winning are the same.
However, as you might suspect by this time, Option C is NOT the correct answer. The question, then, is: which of the other two Options is the correct answer? That is, should you trade or not? And why?
The Solution is available below. However, if you wish to think about this for a while, a (brief) Hint is available.