Teens from the US: How do you pronounce the name of the state: Arkansas?

I've heard some Americans on TV etc pronounce it like Ar-kan-saw. Yet its spelt Arkansas. I've also heard it's illegal in Arkansas to mispronounce the name, though this is probably just a myth. How is it really pronounced? And is there any link between the other state Kansas and Arkansas the names are extremely similar or is that just coincidence?