Derived from milk, whey protein is a mix of protein, amino acids, lactose and minerals. Whey contains very little fat since whey is the fluid that is left behind after the fats in milk form a solid called cheese. The liquid is then dehydrated to form a whey protein powder that is commonly used to build muscle.his will give you increased protein to use during the exercise resulting in increased fat burn and increased muscle building. Recipe. Ingredient and Instruction. Vanilla Whey Protein Shake. Ingredients: 1  Whey protein powder -- 2 tablespoons. 2  Low fat milk -- 1/2 cup.