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As a native Portuguese speaker, I was told "ж" in Russian is pronounced like the Portuguese and French "j" (IPA: ʒ), a voiced palato-alveolar fricative.
However according to Wikipedia the Russian "ж" is a retroflex fricative (IPA: ʐ). Is this the only correct pronunciation, and if so, how incorrect is the approximation above?
Wikipedia is right, Russian Ж is a retroflex fricative (IPA: ʐ), and the sound sample they have in the article is exactly how it sounds in Russian.
If you pronounce it like the Portuguese and French "j" (IPA: ʒ), you will be understood well, but this will add a foreign accent to your speech, I'd advise sticking to the correct, retroflex fricative variant. Russian Ж (IPA: ʐ) can never be "soft" (palatalized), even when in spelling it is followed by the palatalizing vowels (е, ё, и, ю, я,), so жизнь is actually pronounced as *жызнь, Жюль Верн as *Жуль Верн, etc.
In Russian there is another phoneme, a long (gemminated) voiced palato-alveolar fricative (IPA: ʑː which can also be transcribed as ʒ:), which is normally spelled ЖЖ, like in вожжи, дрожжи, жжение, жужжать, можжевельник. But this sound is now substituted in the speech of most people by /ʐ:/, that is it loses its palatal nature, the tendency in Russian is to have all Ж-like phonemes non-palatalized.
