Some protists do have cell walls, but others do not. Protists with cell walls include photosynthetic diatoms, red algae and green algae, along with the fungi-like Oomycota. Most other protists, such as brown algae and animal-like protists, do not.
Different groups of protists have cell walls composed of different materials. Green algae and Oomycota have cell walls made at least partially of cellulose, like those around plant cells. Red algae also have cellulose in their cell walls, but the walls contain calcium carbonate as well. Diatoms, which are the major component of diatomaceous earth, have cell walls made of silica.