They are pronounced like "mn" and "pn", as far as I know. English doesn't allow these combinations of consonants at the beginning of a syllable, but Greek does, as do some other languages (for example, Russian has similar combinations of sounds). These sounds do occur in other places, however: consider "am not" or "dampness". (It may help at first to stick a very brief vowel sound between the two consonants while practicing, since this is a sound that can be difficult to produce.)
IPHIGENIE: Kann uns zum Vaterland die Fremde werden?
ARKAS: Und dir ist fremd das Vaterland geworden.
IPHIGENIE: Das ist's, warum mein blutend Herz nicht heilt.
(Goethe, Iphigenie auf Tauris)