What is the Monty Hall problem?

Imagine that you are in a game show. There are three doors behind one of which is a car. You pick a door. The host, who knows where the car is, is forced to reveal a different door, showing you there is nothing behind it. Now, the host asks if you would like to choose the other unopened door.

Should you switch or you stick with the one you chose?

The correct mathimatical answer is "YES" because if you switch, the odds will be 2/3 to have the car. If you don't switch, the odds will be 1/3. The probability locks in when you make the choice.