Electrons have a so-called spin, which is random for each individual electron. However, you can make it so that 2 electrons have the opposite spin. When the spin of one electron is measured, the other one "knows" which spin it should be, and it knows it pretty much immediately (faster than the speed of light, which is not allowed by classical mechanics).
The simple explanation is that the classical systems are just too big for the quantum effects to be observable. It can still not be fully explained why the quantum world is so much different from the big world, but it just, experimentally, is.
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