In England the pronunciation is "Ursyuhla", with a definite 'y' glide after the 's'. I prefer this pronunciation to the American one. It's an alright name, I associate it more with Ursula Andress than The Little Mermaid.
My mum's name is Ursula, and she can't stand people pronouncing it 'URSH-ula', she pronounces it 'URS-ula'. Also she hates to be called 'Ursh' or 'Urshie'.