Google Translate can provide a basic sample of the sj sound. Ask for a Swedish translation of "seventy-seven hospitals near the lake" (sjuttiosju sjukhus nära sjön):
https://translate.google.com/#view=home&op=translate&sl=en&t...
https://translate.google.com/#view=home&op=translate&sl=en&t...
https://translate.google.com/#view=home&op=translate&sl=sv&t....