We'll give you the correct pronunciation in a moment or so, but let's build up to it first, because we have to have a prelude. "Prelude" really just means "introduction", and it can be used as the start of a story, or a section of music played as an opening act. The clue to its purpose comes from the "pre" part of the word, but we don't know where the rest of it came from. It's not like you get a "lude" after the "prelude".
You may have heard it said as "pray-lood", but that isn't right, even if it was in a Church. It isn't "pree-lude" either, even though that sounds right considering the word's true meaning. What you should actually be aiming for is "prell-yood"; a pronunciation which is owed to the word's Latin roots.