In order to achieve the awesome ear drum bursting whistle you have 5 steps. First, take your thumb and your middle finger and form a wide "U" shape. Second, curl your lips back tight until you look like a toothless old man. Next, put your "U" shaped fingers in your mouth and keep your fingers tight to the sides of your mouth. Fourth, flatten your tongue and push it forward into the backs of your teeth. Finally, take a big breath and....BLOW! Make sure the blow is forceful with enough air, and curve your fingers down into your tongue while you are doing this.
It might take a you a while to wiggling your fingers around and perfect the ear piercing whistle, but once you figure it out people will be begging you to teach them! Good luck!
http://www.howcast.com/videos/207143-How-to-Whistle-with-Your-Fingers