No. "Gy," which is represented in the IPA as /ɟ/, is pronounced by saying g, but with the middle or back of your tongue touching only the hard middle part of the roof of your mouth instead of the soft back part. This is why "gy" is also called a palatalized g.
Not technically correct - the sound is a Voiced Palatal Stop which means its location is the palate. "d" is the closest similar English point of articulation. You can think of it as a palatalized "d" to help you get there but really it's a properly palatal sound. The reason for using "gy" is historical - the sound would be more accurately represented as "dy" as the "y" stands for a palatalization.
not that pronouncing a palatalized gy would be much different from a gy sound.. just to put that "historical gy" in context. They are by no means unrelated.
be prepared, if you ask a Hungarian "how are you", there's a good chance they'll actually tell you how they are.. (instead of just replying a polite "how are you" in return) :)