barn700 missed a step. You need to change the KUID in the KUID list at the bottom of the config file. For some reason if this is not changed the old KUID stays in effect.
In Content Manager Plus. Locate the loco you what to change the whistle of, right click on it then follow the instructions per barn700 ^
Do you have a replacement whistle in mind already? You should find one first, (perhaps on another loco you have) to make things easier. Then write the kuid # down and replace the old whistle sound kuid whith the one you like better in the config file. Also, as noted above you will need to rewrite the replacement whistle kuid# in place of the old one in the kuid table located at the bottom of the config file.