The sound that you make when you exhale loudly to show frustration, boredom, or relief is called a sigh. No matter how much you sigh during your family's annual car trip to the Grand Canyon, your dad won't drive any faster.
Something that sounds like a human sigh is also called a sigh. The breeze might sigh in the still night air, or a screen door might sigh closed. The word sigh comes from the Old English word of the same meaning, sican, which was probably imitative, echoing the sound of a sigh.