Study your English language book. The first few pages will have the letters of the alphabet and a phonetic spelling of their pronunciation. If the book is in your native language, the pronunciation portion will have a word in your language with an equivalent sound to the English letter. Review the letters and pronunciation a few times a day until you are familiar with the letters. Don't worry about getting pronunciation correct yet.
Practice writing the English letters in both capital and lowercase. If your language uses an alphabet different than the English alphabet (Greek or Chinese, for example), copy out the letters of the English alphabet several times until you can write them with ease.
Visit websites for learning the English language. The Literacy Center and Language Guide websites have the alphabet and its pronunciation. The BBC site has guides for pronunciation audio alongside how the sound is written out in a dictionary or pronunciation guide. Play the audio for each letter or sound and practice pronouncing the letter. Repeat the pronunciation of the letter or sound until you can mimic the speaker.
Practice with a CD or CD-ROM on English language with the alphabet. Not all have a section on the alphabet, but ones focusing on vocabulary are more likely to have the pronunciation of the alphabet. Useful CDs for adults include "Pronounce It Perfectly in English" and "Learn to Speak English." Children's CDs that give the basics of the alphabet with pronunciation include "Dr. Seuss ABC" and "Alphabet Express," to name a couple.
Practice reciting and writing the alphabet on your own. Schoolchildren learn the alphabet by singing it along to the tune of "Twinkle, Twinkle Little Star." This is one way to memorize the alphabet if you are familiar with the song. Otherwise, simply practice saying and writing the letters.