While flipping through my trusted Longman Pronunciation Dictionary, I came across the name Würzburg, a lovely city in Germany. As you may expect, the umlaut makes the English pronunciation a nontrivial issue. Since there is no ü sound in English, it has to be replaced by something else (ignoring this rule may show that you know the German pronunciation, but at the same time makes it harder for others to understand what you are saying). In the case of Würzburg, which does not have an English name (in contrast to Munich), the ü is essentially replaced with a u with regard to pronunciation.
According to the Longman Pronunciation Dictionary, Würzburg is usually pronounced as [‘vɜːtsbɜːg] in British English, and as [‘wɜː(r)tsbɜː(r)g] in American English. Notice that in [‘vɜːtsbɜːg], w is pronounced as [v], thus matching the German pronunciation. The letters ü and u in Würzburg are hence pronounced in exactly the same way, namely as [ɜː]. The same sound is used in words such as surf or curve. You can listen to the pronunciation of burg here.