You want a Protein that has a low fat and calorie count. You also want to have about 1 and 1/2 times your bodywieght in Grams of protein over the course of the day.
If you weigh say 100lbs, you'd want roughly 150grams a day of Protein. You don't necessarily always want this in WHEY format, but that gives you an idea.
Personally, I use 100% WHEY Protein, Strawberry flavored and use Non-Fat milk (skim milk) to mix it with. I drink one in the morning, one about 30 minutes before I work out, and one with a meal after I get done lifting.
The problem with WHEY, is that it doesn't stay in your system for very long, so you have to take a rather large amount of it, compared to say a dietary supplement which has more calories as well as proteins, which is designed to release into your body much slower.
For me, I just make sure to have some in my stomach before I go to bed, when I wake up, before I work out, and after I work out. You can replace it with a heavy protein-filled meal as well. Two cans of tuna, 2 chicken sandwiches, etc, etc.
Hope this helps.