Take a deep breath, as if you were sucking air in through a straw. Then whistle out, trying to keep that same feeling of a strong jet of air coming from way down.

I got this tip from a person with a Ph D in choral music. It helps with singing, too.
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I've made an interesting discovery this month. In choir, the subject of front vowels came up. These are vowels where you make one sound in the back in the mouth while rounding the lips. For example, German ue is long e at the back of the mouth while the lips are rounded. I discovered that if I said ee and rounded my lips to the max, I started whistling.

This might be a way to show someone who has never managed to whistle how to do it.