Which door should you choose?

Imagine being in a game show. You have three doors in front of you. The prize, say a reasonable sum of money, is behind one of them but behind the other two there is a custard pie. If you open the door with the prize behind it then this is what you win. If you reveal a custard pie then the custard pie will be thrown in your face. Now you choose a door but you don't yet open it. The game show host reveals opens one of the doors to reveal one of the custard pies. Now you're allowed to change your mind at this point. What do you do and why?