Just call him Alex , its much easier .
How do you pronounce Alekhine?

Here's the answer from Wikipedia: pronounced [ɐlʲɪkˈsandr ɐlʲɪkˈsandrəvʲɪtɕ ɐˈlʲexʲɪn
Seriously though, here is an audio recording of Alekhine doing an interview. It was done in 1938 with the BBC.
http://www.chessmaniac.com/SoundFiles/AlekineInterview.mp3
Al-eeeee-kine