At the bushmoot the year before last, Mors showed how to make a whistle from a thin strip of aluminium. I've made them from the metal from a coke can, but a bit thicker is better.
You basically take a long rectangle of flat metal and bend it back and forth until it breaks and so you have two pieces about 1/3 and 2/3 length.
You then bend the short piece around the long piece to form the "whistly" part and bend the long piece to form the chamber. The finished result is like a pea whistle without sides on the chamber. You use finger and thumb to form the sides and blow into it.
They're surprising effective, very loud and a lot easier to make than my instructions imply!
A photo would help a lot - I'll try and sort one tonight.
Alternatively, you can make whistles from wood or antler. I've made a few. It's all about experimentation, trying different sizes of chamber for different notes. I've not made anything that would content with any of the commercial whistles available though.
This pic may help. It's the only example I could find knocking about. Ignore the furry looking metal, there was some sort of paper coating glued on. HTH.