clipped from: www.geocities.com   
As with any sound, whistling involves vibrating air. Unlike the string of a violin or the reed of an oboe, with whistles the vibration comes by dividing a stream of air across a surface so that some of the air goes over the surface and some of it goes under the surface. That's how it works with the 2-handed whistle, also. 

Reverse these directions if you are left-handed.

Start with both hands cupped as for swimming, open and side-by-side in front of you. The fingers are together, the thumbs are separated from them.

Use your right hand as a base: Keep it palm up, still curved. Bring the right thumb in to form a C-shape when viewed from the side.

Place the pinkie-finger side of the left hand at the base of the fingers of the right hand. With the left pinkie as a hinge, fold the left hand down so the left fingers press into the the right hand between the fingers and the thumb. Try to form an air-tight seal as you do so.