The pronunciation of the Spanish letter LL varies depending on where you are in the Spanish-speaking world. On this site, as in most of Latin America and parts of Spain, it is pronounced like an English Y.
Not demonstrated here but for your reference, it can also sound like an English Y with a hint of an L in front of it (softer than in the English words "million" or "scallion"), or in other places, notably Argentina, it is pronounced like the soft g in "mirage."
Also see L lesson.
In Spanish, LL is considered a single letter. It's very important to be aware of this when looking something up in a Spanish dictionary. The LL section is between the L and M sections. For example, llama is located after luz.
Please note that this explanation is only a guideline for the Spanish that I know, which is Castilian Spanish. There are many regional variations in Spanish pronunciation.