Ethereal Purple, whistling requires more than just one's lips. The tongue, kind of bent down at the tip, goes below the line of the bottom row of teeth, somewhat pressed against the gums. You can practice moving the tongue into different positions- I've noticed that most people who are trying to figure out how it is done tend to form a circular trench with the tongue and suspend it in the mouth. Doesn't work that way- you'll get just kind of a breathy whistly sound.

I like to whistle!