More than any other letter, the ll of Spanish has a sound that varies with region. Even within one country, its sound can vary.
The sound you're most likely to hear for the ll (and the sound you'll hear in our audio lesson on the ll) is similar to the "y" of yellow. So in much of the Spanish-speaking world, there is no difference between the sound of the ll and of the y when it is used as a consonant. And if you pronounce the ll that way, you will be understood everywhere.
In some areas, the ll sounds like the lli in "million," so that calle would be pronounced something like CALL-yeh. Also common is pronouncing the ll something like the "s" in "measure" (sometimes called the "zh" sound), although perhaps a bit softer, and in some areas somewhat similar to the "g" sound of "wage" but softened a bit. Rarely, it can even have an "sh" sound. In these areas, the sounds of ll and y are differentiated.
Sentences you'll hear in the audio lesson are "Llévenos al centro" (take us downtown) and "Ella no está en la calle" (she isn't in the street).