Warp Whistle One
The first whistle is in World One -- Level Three. Play through the stage as normal until you come across a white block near the end. Push the "A" button to jump onto the block. Hold the "down" button for about five seconds until you drop to the ground. You should now be behind the scenery. Run to the end of the stage and get the first warp whistle.
Warp Whistle Two
The second whistle is in World One -- Fortress One. You must be in the raccoon outfit near the first door of the stage. Start at the far right of the room and hold the "B" button to help Mario charge the fly meter. Once the meter is full, hit the "A" button to jump, then repeatedly push the "A" button to fly over the top right wall. When you land, you go to a secret area that contains the whistle.
Warp Whistle Three
The last warp whistle in the desert area of World Two is only available if you take on the optional Hammer Brothers battles. As you move around the World Map, move over the Hammer Brothers to start a fight. Fight them until you receive a hammer item. Keep going until you reach to the top right portion of the map. Destroy the rock here with the hammer, then fight the Hammer Brother on the other side. Defeat him to get the final warp whistle.
Zip to the End
After you get the second warp whistle, use the first warp whistle to warp to the secret "level select" pipe area. Use the second warp whistle to transport to the last warp pipe, which grants immediate access to the last world.
World 8 -- Level 2
At the onset of the stage, jump immediately into the water. Swim under the boats until you get to the end of the stage. Jump back into the boat and finish the stage.