Our body has nine 'doors', such as our eyes, ears, nose, etc. We can use any of these doors to exit the body, but when we die we will transmigrate again in the lower realms. Take a house for example. If you are leaving in a hurry through a window you may end up with many contusions. You must instead use the front door. But we cannot leave if it isn't open. There is only one door from which we can go to the higher realms. It cannot be seen with our physical eyes. Only the great Masters can open it. Since we cannot open it ourselves, we should ask someone who already opened his own door and will show us how to open it. Then we practice every day opening and closing it, and the day we depart we will have no trouble leaving.
(Also see: A to Z Guide - Death)

Let's say that it is a sunny day and you are in your house. If you do not open the door, you can't see the sun. Similarly, the light and the sound of God exist, but we are closed out in the prison of our own thoughts, prejudices and actions from many lives, and we cannot see or hear. During initiation, the Master gives us a chance to break through once and for all. But we have to keep going because there are many more levels to discover. Actually, initiation is only the beginning, although it is a great start because many people work from the lowest chakra up to the top one, and this can take maybe ten years, whereas we begin with the top one. The Master draws the whole power all the way to the top of the head so we can see the light. This (Master points to the Wisdom eye) is the door to Heaven, and you will go to many mansions.
(Also see: The process of initiation)