Whey is an animal-based protein made from the unwanted scraps of milk and cheese. Milk actually contains two main types of protein: casein (80%) and whey (20%).
In its original liquid state, whey is a mixture of mostly water with some protein, fat, carbohydrates and lactose. Once separated from milk or cheese during production, whey undergoes processing to become what most of us know commonly as whey protein powder. A powder that can be added to shakes, meal replacements and protein bars. Whey can be processed to yield protein in three forms: whey isolate, whey concentrate, or whey hydrolysate.
Because whey contains lactose, it may cause some bloating and even gas if you are sensitive to lactose. No protein shake should ever leave you feeling bloated - after your first shake it should be pretty obvious if you have an intolerance.