Q. Why are there other major religions (Judaism, Muslim (sic)) if ours is the “only” true one? How do we know that it is? Is it wrong to think of other religions?
No, it is not wrong to study and think about other religions. Sometimes looking at other traditions can help bring ours into better focus or help us discover things we never would have seen in our own religion. Other religious traditions also have things to teach us. For example, I think Muslims could teach us a thing or two about the awesomeness of God and how that affects us when we are in God's presence.
We assert that our faith is the only way to salvation and eternal life. If we are Christian we have to assert this. The bible clearly states that salvation comes only to those who believe that Jesus is their Lord and savior (Jn 3:16, 3:36, Ro. 6:23 ). Other religions do not confess this. However, we are called upon to share the gospel with others in the hope that the Holy Spirit will reach them with the good news. This sharing should be done in a way that is in keeping with Christ’s love. I think that means that we share the gospel in a way that is non-threatening but honest, while being respectful when people disagree.
How do we know that we have the way to salvation? Because we believe it is so. Because those whom I trust the most (my parents, friends, mentors) have told me about the power of this God. Because the Bible, which I believe to contain the Word of God, tells me so. Because I have felt the power of this God working in my life and seen it in others. Because I have faith. Can God act in other ways to save people? You bet, after all God can do anything. However, the only way I know to salvation is through Jesus Christ.