Quick answer
Ж ж = the s in “pleasure” or the g in “beige”. It is always hard, even when an и or е follows: жить sounds like “zhyt”.
zh
How to say it
Put your tongue where you would for “sh” and switch your voice on. That is Ж.
Always hard
Ж never softens. After it you write и but say “y”: жить = “zhyt”, маши́на = “mashyna”. The spelling rule that bans ы after ж exists for exactly this reason.
On the door
Ж marks the women’s toilet (же́нский), М the men’s (мужско́й). Worth knowing before you need it.
Typical mistakes
Reading Ж as a normal “j”
like the s in “pleasure”
The English j (as in jam) is Russian дж — two letters.
жы
жи
Never ы after ж, even though that is what you hear.
Check yourself
Which word contains Ж?