Whistle sound comes from turbo. There are different types of sound turbos produce, high, medium, low pitch whistle, sometimes it's more like howling, sometimes it's like whining and yet the turbo is in perfect health. Some turbos are designed/tuned for lower revs, others for higher, this also affects on how the turbo sounds.
If you car goes fine and you feel the power and you have no big deal of black clouds behind when you rev the engine high then your turbo is ok.
Most of people like to hear that sound, me too. It is cool sound for it gives a sense of rising power and speed. Try to enjoy it.
By the way, to avoid turbo bake the oil, you should always leave the engine idle before shutdown for about 2 minutes. Especially if you have driven it hard, then you should leave it idling few minutes more providing that the engine oil circulates around turbo bearings and cool them down.