According to RxList, whey protein comes from the liquid extract that results from making cheese. The liquid is then dried, as described by Wikipedia, producing a powdered protein supplement. Whey protein is produced in three forms: concentrate, isolate and hydrolysate; these forms are differentiated by their fat and allergen levels.
RxList explains that whey protein is most commonly used as a supplement for athletic performance. The supplement is often added to shakes consumed before or after vigorous exercise. According to Health magazine, the consumption of protein after a workout is important in recovering and building muscles, as well as restoring energy reserves.