There are lots of resources on the internet, so I'll try to offer three options I think can be useful.

But before going ahead, let me tell you there are some differences between the Spanish spoken in America and the Spanish spoken in Spain.

1. Letters "c" and "z". In Spain, we pronounce it like a stronger English "th". On the other side, in America they are pronounced like an "s". Note that even in Spain, mostly in the South, these two letters are also pronounced as an "s".
2. "j" and "g" letters, in Spain are pronounced much more stronger than in America.

So, knowing that, let's start. Enjoy and learn!

This site offers an interactive Spanish alphabet. Everytime you pass the mouse over any letter, you can hear how it sounds. It also offers some related information.

The pronunciation on this site is from América.

Ah! Note that "w" is named as "doble v", but Spain we call it "uve doble".

To visit this site: Spanish Alphabet at SpanishSpanish.com

Omniglot.com is more, let's say, technical. They offer an introduction to Spanish language, its history, and then and explanation for the Spanish alphabet pronunciation in both areas, Spain and America. Those strange symbols are used to show how letters are pronounced. If you are not very familiar with them, no problem, as they explain them.

To visit this site: Spanish Alphabet at Omniglot.com

One more Spanish alphabet pronunciation guide, including sound files, but with the particularity that together with every letter, you can click on a list of words using that concrete letter and listen ot them.

Note that the pronunciation is American.

You can visit it here: Spanish Alphabet at 123teachme.com