In Cantonese it is pronounced Foong Soy, much like Soy sauce that we eat in chinese dishes.
Of course there are many dialects, each pronouncing this slightly differently and with the complexities of the Chinese dialect it is almost impossible for a westerner who is not particularly well versed in Chinese language to pronounce them entirely accurately.
As Mandarin is the most widely used dialect in this language, most people prefer to use the pronounciation of Foong Schway.
The only vastly INCORRECT way of pronouncing this is Feng Shooey. Unfortunately, particularly in Australia, some people use this form. It is incorrect, sounds pretty silly and will not assist you greatly to sound like you know what you are talking about.