Quick answer
Ф ф is the f of “fun”. It is the least native consonant in Russian — nearly every word containing it is a loanword.
f
How to say it
The English f, no difference worth mentioning.
A letter of borrowings
Russian had no f sound of its own. Everything with Ф arrived from Greek, Latin, German, French or English: филосо́фия, фо́рма, фи́рма, фено́мен. That makes Ф words unusually easy to guess — and фами́лия is the trap, because it means surname, not family.
When в sounds like ф
A в at the end of a word or before a voiceless consonant is pronounced f: Че́хов is “Chékhof”, в ко́мнате is “f kómnate”. So you will hear far more f-sounds in Russian than the letter Ф accounts for.
Typical mistakes
фами́лия = family
фами́лия = surname
Family is семья́.
Reading Че́хов with a final v
“Chékhof”
Final в devoices to f.
Check yourself
Which word contains Ф?