First thing I'd do is mark a GPS position where I heard the whistle and I like KenK's suggestion of whistling back -- a little hope goes a long way. The guy may be mobile and lost and may walk to you.

Regardless, slow down and think the situation through, be methodical. I'll most likely be solo so not compounding the situation is high on my list. Anyway, pull out GPS and compass and see if I can get a most likely bearing on the sound. Then I go find the source of the whistle.

If the other party is just lost and still mobile, we will probably hike out together. If he got lost once, he can get lost again.

If he's not mobile, then I set him/her up in a shelter with fire and I hike out to cell coverage. If at this time I've finally purchased a PLB, this would be an appropriate use.