You know what? maybe my explanation isn't clear... so let me put it another way.. I googled it so:
http://www.utia.cas.cz/vomlel/mh-puzzle.html
At first you have 33.33% chance of choosing the right door and there is 66.67% chance of the prize being somewhere else. You know that Monty is going to open an empty door so when he does, this should not change a thing about your belief of your door being the right one. You still have 33.33% chance of having selected the right door. Thus there must be 66.67% chance of the prize being somewhere else (behind the last door).