French · Pronunciation Guide
shahn-ZHAY — a soft "sh" at the front, a nasal vowel, a buzzy "zh", and no "r" at the end.
chan-GER, weight on the second syllable. The word has no hard consonants at all: two soft palatal sounds and a nasal vowel, which gives it a notably smooth texture.
Listen: changer
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Je dois changer de train à Lyon.
I have to change trains in Lyon.
Listen: Je dois changer de train à Lyon.
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"Je dois changer de train à Lyon" uses "changer de", the fixed construction for switching from one thing to another — you change "de train", "d'avis", "de chemise", always with "de" and never with an article. "Train" is one nasal beat, /tʁɛ̃/, and "Lyon" is two: lee-OHN.
The English word "change" supplies a hard "ch" and a hard "j", both of which are wrong: French wants "sh" and "zh", neither with a stop in front. The nasal also gets flattened into "chan" with a real "n". And then the -er ending gets an "r". Fixing all four turns "CHAIN-jer" into "shahn-ZHAY", which sounds like a completely different word — as it should.