I am Chinese and my name is actually 许海南, with 许 being the surname (or "last" name), and 海南 the given name (or "first" name). Yes, in Chinese we say the last name first and the first name last.
In Chinese, each individual character has its own meaning. In my name, 许 means "to allow", 海 means "sea" and 南 means "south".
The pinyin for 许 is "xu", pronounced like "shoe"; "hai" for 海 pronounced like "high" and "nan" for 南, which is pronounced like "naan". So just call me "high naan".
If you want to pronounce it "like a native speaker", you could probably try to learn from this