There are many other guys here who are more knowledgeable about protein shakes, but I just get some protein powder from Trader Joes (I'm partial to Designer Whey Chocolate, and I think I got the referral from someone else here), mix it with milk, and you're set. I've even used orange juice when I was out of milk.
There are lots of other things you can do too. I have counted at least three other threads here discussing whey protein and other types of protein, so I'd check there first.