Pinyin is a system, which is used to transcribe the sounds of Mandarin Chinese into the Roman alphabet. It is used wherever a transcription of Chinese is needed (city names - Beijing, Shanghai, people’s names - Xi Jinping, Wen Jiabao etc.) and also but not exclusively as an input method for Chinese in computers and other devices.
Since the pronunciation of Roman letters in the many languages that use them differs from language to language, when Pinyin was created, it wasn't possible to design a system that would be universal for every language that uses Roman letters. This means, that the letters used in Pinyin are not always pronounced as they would be in your language. In other words a j is not a j and an x is not an x.
Furthermore, pinyin is also confusing because of another thing. Sometimes you use two different Roman letters to represent the same sound and sometimes two different sounds are represented by the same one Roman letter. This is confusing, because students might not initially realize that syllables like wo, shuo and po for instance share exactly the same sound.
Sounds that are written in a different way, but represent the same sound*:
Wo, Shuo, Po - rhyme with 我 (Wo)
Dui, Hui, Wei, Shei - rhyme with 累 (Lei)
Wen, Dun, Shun - rhyme with 文 (Wen)
Same letter used to represent a different sound:
Ci, Shi - rhyme with 日 (Ri)
Bi, Li - rhyme with 以 (Yi)
Xun, Jun - rhyme with 孕 (Yun)
Shun, Dun – rhyme with 文 (Wen)
Shu, Chu, Zhu - rhyme with 五 (Wu)
Xu, Qu, Ju - rhyme with 於 (Yu)
Inspired by mnmlist.com. I tried to write this post in no more than 4 paragraphs :)
* as pronounced in Taiwan