I got started with "The Penny Whistle Book" by Robin Williamson. It's very easy to use, it's still available at most music stores, and it includes both "lesson" material and tunes. There are a lot of good lesson books on both video tape and CD. Of course if we just had a professional penny whistler from some celtic band he could probably give you more suggestions and advice. I bet if you pm'd Jimmy Carbomb he'd get you a good start.

Jamie