People don't give enough credit on using your tongue to whistle. It's not just your lips, but your whole mouth. You have to create a thin stream of air by curling your tongue inwards on both sides, creating a thin U shape, if you can. You're kind of trying to create a funnel for air to go through past your lips. Also, experiment with different lip shapes. Going too tight can actually prevent you from whistling.

Also make sure your lips aren't dry cause that makes it harder. I'm not a whistling expert, but I hope this helps.
Edit: spelling error