The site linked by Monique has some very good material, but also some that is not.
The legend of Kokopeli is recent. Kokopeli, the flute-playing humpback, is based on a petroglyph, and speculations of both whites and southwestern Indians as to its meaning. It seems to be Anasazi, which is the Navajo name for the people who once lived in the villages, now ruins, in their region. These were early pueblo peoples, who moved as climate and enemies forced them to, and now live in villages in New Mexico, Arizona and elsewhere.
Although the Hopi have two flute societies, neither had 'Kokopeli' stories, and there is no kokopeli kachina.
The story, and jewelry and pictures based on the hump-back figure, have become money makers for both southwest Indians and white store keepers.
The southwestern pueblo tales of Lummis and Benedict are mostly valid, but their informants were not above creating new stories or embellishing old ones.