Step 1: Get a Willow Stick
To make a willow whistle you need only 2 things, a knife and stick.
Get a willow branch with green bark. I am sure that plenty of other tree species will work. The important thing is that you need to be able to slip the bark off the wood without damaging the bark. Try to find a stick at least 1/3 of an inch thick.
Willows love water and are commonly found along streams and ponds. You might think of a willow tree, but bush shaped willows are probably even more common.