How do you pronounce 'zhong' in Chinese?

It sounds like "Jong" at first, but the "J" sound is made by keeping your tongue loose in the front of your mouth while the "Zh" sound is made by curling your tongue so that the tip touches the middle of the roof of your mouth.

After you curl your tongue, keep your teeth together and try saying "Jong" again and it will give you the "Zh" sound.