As said in Webster's writeup below, in English Y is mostly a consonant but is sometimes also a vowel (for example, in words ending with -ay).
In Finnish and many other languages (Swedish and French, I think - in German it's written as "ü"), there's an "y" sound that is unlike of English "y". (In Finnish, English "y" would be written as "j" or "i".) In IPA it's written as /Y/, in ASCII IPA as /I./.
Pronouncation: Round your lips for /U/ (as in "ooze") and try to say /I/ (as in "it"). (Try it. It's fun. =)
Lack of this sound in English often makes English-speaking people sound funny when they try to pronounce Finnish things. However, it's not as bad as it's case with R. =)