Dogs don't instinctively know what to do when you blow a whistle at them. They may look in your direction or prick their ears up in response to a new sound, but they won’t instantly come running to you or lie down. Instead, you have to train them to respond to a whistle in much the same way that you'd teach them to respond to voice commands. If you're unsure how to do this, you'll find plenty of resources online.