These three vowel sounds are all diphthongs. This means they are actually two vowel sounds that slur together. Notice your mouth move when you say these sounds. Now compare that to "he". When you said "he", you can say the vowel sounds for a long time without moving your mouth!
Now let's listen to some sounds!
Here are some video clips!
Notice how the jaw moves, showing the movement from one vowel sounds to the second. (These videos will launch a separate video viewer to play them. Make sure you have a plug-in for video clips.)