Here are some embouchure photos of good players.
http://www.larrykrantz.com/embpic.htm
Note how different they are. That is because people have different shaped lips. But what they have in common is a small aperture between the lips. You must not pull your teeth tight around your lips, or over-smile, in order to get that small aperture, but rather press your lips slightly tighter together, otherwise you will never get control of pitch and volume of the high notes.
It takes time and practice to do it effectively. The lip movements involved are minute. Try it in front of a mirror.
With a smaller aperture you will also need to push the air out a bit harder, as you do when blowing balloons. Some people call this "breathe support".
An effective exercise to help with this is simply time a single breath long note, played reasonably loud, and keep trying to make it last longer and longer. (Leave the soft playing until you have mastered good tone with louder notes. On flute, soft notes, particularly on higher notes, are a relatively advanced skill.)
If you are a sax player trying to play flute, then the following possibly may help. (They're from the home page of saxontheweb.):
First Note From a Flute
http://www.saxontheweb.net/Resources/FluteLessons2.html
Flute Lessons by Email
http://www.saxontheweb.net/Resources/FluteLessons.html