Smart ForFour AMG Black Series Night Edition Premium Plus 125 Powered by Brabus
How long have you had the car, and has it always whistled at the same volume?
As BlackC55 pointed out whilstling is normal on a turbocharged car, but if it worsens it can suggest that there is a deeper problem.
My Rover 220 SDi sounded great, like a diesel loco - much better than our ML270 CDi.
On a lighter note, I find the quickest and easiest way to stop an annoying whistle, is to make the offender smile. Very difficult to whistle when you're smiling!!
The exhaust blew on my diesel turbo but to be honest it wasn't immediately obvious but the turbo started to whistle at certain gear change points; new exhaust cured that upon investigation, but any turbo whistle which is new and progressing must be investigated