Pronunciation is hard to learn on your own. Sure, you can listen to language CDs and other stuff to help you learn by yourself. But when it comes to pronunciation I'd say that having a language partner is the best choice for learning. Regarding your specific problem I have no other specific advice than to practice. Here are some words with the same sound as sju that you can practice pronunciation on: sjukhus, sjuk, skjuta, skjul, sjuda, sjunde

there's a pretty good wikipedia entry on this sound: http://en.wikipedia.org/wiki/Sje-sound if you are familiar with the international phonetic alphabet or some linguistic terms, this article can tell you about the pronunciation in some detail.