If someone mis-pronounces a word it is very rude to correct
their pronunciation - they will feel crushed and foolish. The
tactful option is to re-introduce the word that has been
mispronounced into the conversation: by using the correct
pronunciation you will be alerting them to the mistake; they can
either choose to rectify their error in future, or stick doggedly
to their own version.
While everyone admires linguistic ability, you should restrain any desire to show off your skills by over-pronouncing foreign words. Generally, if foreign words are used in English conversation they are gently anglicised; guttural or phlegmatic consonants, trilled 'rs' and exaggerated glottal stops are unnecessary and obtrusive.