Print out or copy down the Korean alphabet (including its pronunciation guide) on a sheet paper. There are numerous online resources, as well as books available for purchase or through the public library, that provide a list of the Korean letters.
Copy down several times over each letter of the alphabet, making sure to keep note of the pronunciation. At this point, it is not necessary to attempt to pronounce the letters yourself; instead, you should try to get a general idea of how each letter sounds when spoken.
Purchase or borrow audio tapes, or go online to an Korean language resource, to listen to a native Korean speaker pronounce each letter individually. Repeat after the speaker, attempting to mimic their pronunciation as closely as possible.
Create flashcards, both to reinforce your knowledge, as well as to quiz yourself, on the pronunciation of each letter. Restudy any letters you miss.
Visit websites written in the Korean language to practice your newly found knowledge of the Korean alphabet. While you may not understand the words that are written, you can attempt to sound out what you read, thus reinforcing your studies.