I politely correct them and shrug it off and make no big deal of it. My last name, pronounced “shay,” is perplexing to most people because of the silent (backwards looking?) ‘H’ then the ‘S.’
When I’m on the phone and people ask for my last name, I just spell it out and then pronounce for them. Hi, I’m Joseph Hsieh, that’s H (pause) then S (pause), i-e-h.
I also tend to look for my name badges/cards when I go to conferences or events by quickly glancing in the pile of name badges/cards in the “S’ before I go to the “H” pile. Thank goodness for online registrations, this has made this less of a problem.
An interesting note, when Tony Hsieh sold his company Zappos to Amazon, I noticed more people (in tech or business) started pronouncing my last name more accurately. Honestly, that event “Delievered Happiness” for me on a whole different level. (No, we’re not related. Darn.)