Okay, let me try to make this easy to understand - I'll do my best.
a3 references a 3 dimensional array. Another way to look at a a 3-D array is as a single dimensional array in which each element of the array references a 2-D array. Think of it like this (forgive the poor ASCII art):
However, in this question, in line 7, you're assigning each of the elements of a3 to a reference to a 2-D array which has dimensions 2x1. Therefore, your picture looks something like this now:
Notice that now each element of a3 references another array which has dimensions 2x1. I've also written in the index values for each of the elements indexed by a3[2]. As you can see, the array element a3[2][2][2] no longer exists!

That's why you end up with the run-time exception.
I hope that helps,
Corey