I can't see how you can hear it as "fu", but then again, I am Swedish and clearly biased. I recommend reading this: http://en.wikipedia.org/wiki/Sj-sound

It's like a hissing sound except that you use the back of your tongue instead of the tip of it. That's why many incorrectly pronounce sju as "shu". With the letter "s" you put the tip close to the palate, but with the sj-sound you do it with the back of your tounge instead. When you gargle you put the back of your tounge completely against the palate so that it vibrates when you pass air through it. It's almost the same, just don't put it completely against the palate.

I've heard many foreigners say "Fu" when they try saying "Sju", If you say with a "F" it sounds wrong. When you say "Sju" you say this "Ch"-sound in the back of your throath, your lips doesn't need to touch at all. If you say "Fu" with the "F" sound you can kind of feel in the fronth of your mouth, in your lips. If you say "Sju" on the other hand you should feel the "Ch" sound in the back of your throath. I hope that explains a bit, I don't know how to explain it in a more professional way

It sounds like "F", but it isn't "F". I can't explain it here. Use your audios. Actually, it is very similar to the Japanese "FU" sound.