Christians- those who believe theirs is the 'only' or the 'one' denomination...?

I have spoken to several people lately who believe that their denomination is the 'only' denomination. As far as acceptance by God etc. I understand that this is a small minority of Christians but to those people I have to ask- Do you honestly think that a moral person who believes in God and accepts the existence of Jesus would die and go to hell, despite the fact that they tried to do the right thing while alive and despite believing in God simply because they weren't part of a specific group? Can someone please explain this belief to me because based on the whole 'all merciful God' thing it just doesn't seem to make any sense.