How do I learn how to whistle?

I've tried forever. I can never get it right. Is there something wrong with my lips? My vocal chords? When I do it it sounds like air just blowing out, and I feel as though I'm holding my breath. I don't know how some people can whistle whole songs without getting breathless. I really need to learn because I'm auditioning for a part in a play where the character is required to whistle frequently...There goes my chances. All cause I wasn't able to whistle. I've been trying for years. All my family members know how, but me. I know it's not a big deal, but it seems to come easily for everyone else. Why not me?