Am I right when I say that Alex drove the children in Prisoners to his house wanting just to play with them and then get them back but didn't since Holly wanted to keep them? But that draws another question. Why didn't girls listen to their mother when she said to bring their brother and sister with them? Did Alex really just go for a drive? Was Holly with him in front of Anna's house in the RV? Did the girls first find the whistle and then on the way back interacted with Alex?
It's not specifically mentioned in the movie but we are supposed to assume that the girls went without their older siblings as a sort of innocent childhood rebellion. They wanted to return to the mysterious RV and play, but earlier their older siblings had kept them from doing so, so they deliberately disobeyed their parent's instructions.
As for the whistle, Anna is known to have lost the whistle sometime in the past, yet it is later found by Keller in the pit at the Jones' house, therefore we can conclude that Anna must've found the whistle before Alex kidnapped them.
What most likely occurred is that after they found the whistle, they returned to play at the RV, and encountered Alex who offered to give them a ride and let them play in the RV. They accepted and joined him for a ride during which time they taught him the "Jingle Bells, Batman smells" song. He took them home and turned them over to Holly at which point they realized they had been kidnapped and cried.
They didn't cry until I left them.
1"therefore we can conclude that Anna must've found the whistle before Alex kidnapped them" -- yes, and this is confirmed by Anna' herself upon waking in the hospital (the confirmation happens off-screen but is mentioned by Anna's mom)– Shiz Z.Dec 24, 2016 at 15:50