Just make it one syllable, with a hard initial "g": GYEM.
I always pronouned Sylvie Guillem's name this way too, like the French word fille.
However, I was recently corrected by one of my French roomates, an artist from Paris, who told me it is pronounced "gee LEM." (That's a hard "g.")
Actually, I've heard pronounced both ways by French speakers... (and both pronounciations would be coherent with the spelling, as for example the "ill" in "fille" (girl) is pronounced as "y" and the "ill" in "ville" (city) is pronounced as "l"). And I don't know how Ms Guillem pronounces her own name...
artist, in "Aurélie" the stress would actually be on the last syllable, something like "oh-reh-LEE" (and I don't know how to express the pronounciation of "dupont" as the sounds for "u" and "on" don't exist in English... Anyway, it would be pronounced the same way as Dupond (as in Patrick Dupond) as the final t or d is mute).