Above all, it’s a learning experience, and that should be your main focus.
There are things you would rather know sooner rather than later: something stuck to your shoe, a male’s fly is open, and things like that. I would think that proper pronunciation fits in that category somewhere. So there is a reason to be thankful that someone is taking the time to correct you. Some people are better at doing this than others, so it’s probably a safe bet to assume the criticism was meant to be constructive – unless it’s clear that it’s not.
For the constructive folks, praise and thank them for caring. For the others, it may be best to quietly let the conversation move on.
On a similar train of thought, perhaps the best way to deal with this is to prevent it from happening. It’s great that you are broadening your vocabulary, and that means using a dictionary form time to time. On a personal note, I have a dictionary and thesaurus near my desk all the time. A decent dictionary will tell you how to pronounce a word. And maybe there is more than one correct way to say a word. A good online dictionary is even better.