It’s pronounced El-free-da Bee-zhoo.

The ‘zh’ is the tricky part; we don’t do that when we speak English. Imagine saying “sh,” but begin with a ‘z’ instead of an s. Or, use a soft ‘j’, like in the French name Jean, or Georges. Like in the name ‘Zsa Zsa.’ The ‘x’ is silent. If you insist on pronouncing it, I’ll know you’re a tourist.