燒 is burn or bake or sear (even though siu mai is steamed), and the second character 賣 is sell, so you can memorize 燒賣 as bake sale.
賣 is comprised of 士 on top and on the bottom, 買, which is buy, so often you'll see 買賣 together (buy sell), for example in real estate ads, and it's pronounced (excitingly) máaih maaih in Canatonese, mǎi mài in Mandarin.
Siu mai are steamed dumplings filled typically with pork and shrimp, but there are variations with other fillings. Features a thin wrapping around the side and often dotted with a little orange carrot, crab roe, or green pea on top. This is a classic dim sum dish, often paired with 蝦餃 (shrimp dumplings), so in dim sum restaurants, the servers pushing the carts often announce hā gáau, sīu maaih.
Pronunciation
In English, siu mai is often spelled shumai, which approximates the Japanese pronunciation but in Chinese is at best a mixture of the Cantonese and Mandarin pronunciations. In Cantonese, think Peggy Sue-mai, not Elizaeth Shue-mai.