Any way to make it.Whey powder is pretty expensive here and I want to use it for baking.
If you really do mean turning liquid whey into a powder, then the answer is "no" unless your have access to some specialised equipment. You need a membrane filter, ultra-filtration to be precise, to concentrate the protein to a syrup with about 70-75% water. You will also need a dryer of one type or another to remove most of that water, spray drying gets you a powder, or you can freeze dry and mill the dried cake into powder. Both membrane filters and dryers do exist in lab-bench scale and therefore it is entirely feasible to install them at home.