"Key- HOE- Tay" is correct. In Spanish, by the way,it's spelled "Quijote". When the book was first published (1605 1st part, 1615 second part), it was spelled "Quixote" and pronounced "Key -SHO -Tay", as the Spanish "j" sound was in flux. That's why "Mexico" has an "x", even though it's now pronounced "May-hee-co", and spelled "Mejico" in Spain-- the Aztecs actually didn't call themselves Aztecs, but rather "Mexica" (May-SHE-ca) and the place where they lived "Mexico Tenochtitlan". Many other Spanish words that once had an "x", prounounced "sh", in later times were spelled with "j" (pronounced with a very hard, aspirated "h").
This sound is also why, in French, the character is named "Don Quichotte".
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