I have a name that looks like/is spelt like a common french/English name, but I'm Scots and the pronunciation is quite different.
Problem was I mostly lived in England growing up and the English generally can't pronounce it accurately.
It should be an "ahh" sound on the first vowel whereas the English would normally pronounce it as a "Er" sound, the last vowel is also much shorter whereas the English pronounce it "eeee"
Strictly speaking to pronounce it properly requires a rolled r or alveolar trill which the vast majority of English speakers really struggle with.
I don't bother correcting if I am unlikely to meet or deal with the person again, but if they're going to be in my life then yes I'll try and ensure they know the correct pronunciation. But I don't push the rolled r as I know that's difficult.
Ex could never pronounce the r but his mother (welsh) could do it no problem.
Where I did get annoyed was a Dickish teacher who tried to tell me I was pronouncing my own name wrongly and corrected me! Parents put her straight at parents evening but she was an annoying twat at the best of times! Fairly sure it was a racism issue with her as we had a few foreign kids in that class and she anglicised their names too 
But yea if it's just eg a call handler and they've seen my name written only I understand it's not their fault and just go with it
Since moving back to Scotland though it IS nice to mostly have it pronounced correctly rolled r and all! 