I appologise if this is considered "thread slip" but many years ago, my Scots fiddle-player uncle showed us kids how to make a whistle (not a "Penny Whistle") out of a tin can lid. These days I make them from flat bits of aluminum siding.
Now, Honest-to-God! the following is true - it is not even near April 1 yet! but here is how to make one of these whistles.
What I want to know is: There are a lot of experienced whistle players here - has any other player ever seen or played one of these?
The technique is to make a circular piece of thin metal 3" to 4" in diameter (snips work OK) then place some kind of spacer (thin plywood) about 1/8" thich across the diameter of the circle and bend the piece in two. The spacer bit stops the two sides becoming flat against one another at the bend. You now have a semi-circle (top plan) and an elongated "C" (side plan).
insert a thin 1/8" piece of plywood between the two layers (to keep them apart) and (in the center of the straight part of the semi-circle about 1/4" from the bend edge) drill a 1/4" hole through both layers of metal and the plywood. Remove the burr from both layers (you have to open it up a bit to get the inside burr). Drill the hole the bottom (on that layer only) out to 3/16". Take a file and remove all the sharp edges and burrs and then wash the piece (Very Important (Jimmyt - listen to your mother) - you are going to put this in your mouth).
Now you have a semicircle with a hole on top slightly smaller than the one on the bottom. The holes should line up.
Playing this, like Leeniea says, is by varying the size of the chamber in your mouth (similar to playing the Lone Ranger by tapping a pencil on your cheek).      
Holding the ends of the whistle between thumb and middle finger with the edge with the hole closest to you and the smaller hole up, put the whistle in your mouth (clamp down with your lips to make a good seal) and put the tip of your tongue at the edge of the top (small) hole, leaving some room for air to pass through and blow using a kind of "THSSP" shape of your tongue.   
The next bit is problematic, I've had people get a note right away and people who never got a note. The important thing is to persevere until you can get a sustainable note. Move the tip of your tongue forward and back across the top hole. Sometimes adjusting the space between the two plates helps, either opening it up or closing it a bit until you get that first note.
Once you get the first note, you can vary it by pressing the whistle further into your mouth and puffing up your cheeks.
It doesn't have a big range but the sound has a kind of a flutey-sweet-potato pleasing timbre to it.