Ok thanks anyway, and for clarity, I meant something like the blue 'thing' in this picture: http://www.blogcdn.com/www.mydaily.co.uk/media/2011/06/william11-350-pa.jpg
I think the audio pronounces it right, if you can ignore the beginning.
Sje-ljudet, the 'sj'-sound, has at least two pronunciations in Swedish. (And multiple spellings...) One is similar two German 'ch', a fricative with the back of the tongue to the roof of the mouth. That's the one I hear on the audio.
The other one is like English 'sh'. That one sounds a little bit more posh. :-)
You will make yourself understood with either. The thing to avoid is pronouncing it like English 'ch'. That's another phoneme.