repeat after me:
"Alhamdulillah"
The phrase has three basic parts:
Al - The
Hamd-u - meaning the "feeling of gratitude", as opposed to Shokr, "words of gratitude".
Li 'llah - preposition + noun Allah. Li is a preposition meaning for, belonging to, etc. The word "Allah" is said to be derived from ilah -- the Arabic word for God.