It all depends on how much you want what's behind that new door in relation to your desire for the first thing. If you are truly that desperate for the first thing, you'll pursue it whatever the odds. But if the other door is something you also want, and it's a sure bet, I would go for it.
Sometimes the hardest part is knowing when to quit and look at your other options!
Without more specific information, I can't really help you much more. But I will say, in the case jobs, colleges, and summer camps/programs, it's usually best to go with the sure bet.
