The Three Little Islands are tiny islands located northwest of Club Penguin Island, near the shore next to the mountains. However, they don't appear in the ordinary map of Club Penguin.
According to maps located in the Spy Headquarters, Ship Hold and the Everyday Phoning Facility, the islands are located near the left side of the Mountain Range. The map at the Lodge Attic, however, shows 2 islands and another one near the Icebearg, meaning that either the islands aren't grouped on the left of the mountain range, or that a different island is located near the Iceberg.
The islands are not part of Rockhopper Island due to their proximity and also, Rockhopper Island is sandy while the three little islands seem to be covered with snow.