I've never seen the game show Monty so I'm not certain about what you are saying. But if anyone is still confused or does not believe that switching gives you the highest chance of winning, read the Wiki article posted earlier, it explains it well.
In her book The Power of Logical Thinking, vos Savant (1996:15) quotes cognitive psychologist Massimo Piattelli-Palmarini as saying "... no other statistical puzzle comes so close to fooling all the people all the time" and "[realize] that even Nobel physicists systematically give the wrong answer, and that they insist on it, and they are ready to berate in print those who propose the right answer."