There seem to be 2 ways to describe the ü sound. One is the one Alenanno describes, and for example also mentioned on ChinesePod
To make the basic ü sound, make a continuous "ee" sound. As you make
the sound, round your lips into the position they would need to be in
to make an "oo" sound. By making the "ee" sound in your mouth with
your lips in the "oo" position, you are pronouncing Mandarin's ü
The other one is described in this book.
Place your tongue tip so that it touches the back of the lower front teeth. At the same time, stretch the corners of the mount towards two sides. Then draw your lips in to form a perfect circle as small as possible.
I don't agree with Alenanno about the position of the tongue. For example this book says that ü should be at the lower front teeth, not the upper front teeth as shown in the picture in Alenanno's post.
Also the tongue positions in Chinese are in most cases more determined by the initials than not the finals. For example yu, qu, xu, ju have a ü proncounciation, but are both at the lower teeth. cu, su, zu have a u pronounciation, but are at upper teeth, not where it is positioned in the drawing in Alenanno's post.
In my mother tongue we also have the ü sound, and I can make it for any position of the tip of my tongue. The tip of the tongue is not important, what is important is that the shape of your tongue and lips are correct.
u on the other hand is pronounced as the oo in the English word too.
Liu is a short version for liou. So you start with pronouncing li and continue with ou (de ou of 朋友).