Okay, so this is probably the easiest, cheapest and yet working whistle! Enjoy! :)

Step 1: Materials

All you need is:
A piece of paper (scrap, colored, anything, an it doesn't have to big either)

Optional:
Scissors, for the obvious reason of cutting paper. You can do the fold-and-rip method if you wish.

Step 2: Cut Out a Rectangle

Just cut out a rectangle.
The measurement doesn't really matter, but it must be a rectangle, not square. If you want to be sure, the length of the side should be somewhere between 2 to 3 times the length of the width.

Step 3: Fold in Half

First fold the paper in half (one width should touch the other width)

Step 4: Fold in Fours

Fold the paper now into fourths.
These folds should be in the opposite direction to the fold you made for the halves.

Step 5: Cut a Triangle

On the first fold you made (the half), cut a small triangle. It should be at the center of the fold.

In the photo, the triangle is colored in with black for your convenience to see.

Step 6: Blow

Place your lips on the other side of the triangle and blow. You will need to hold onto the paper no both sides.

The picture shows in red the area your lips should be.

Hope this helped! :)