First, when you use the changing rooms at the clothing stores you must strip completely (except for your heels) and hang up your blouse and skirt before trying anything on. If your girlfriend is with you, then you will open the door and hand all of your clothes to her for safekeeping.
You are also forbidden to fully close, latch or lock the door to your changing room. The door doesn’t have to be “wide” open, just ajar. This is mostly for your psychological benefit, knowing that anyone – including a playful girlfriend – could open the door wide and expose you completely at any time!