Whey protein is often taken by weightlifters who are looking to increase strength, muscle size and lean body mass, and studies have shown that whey can help men and women achieve such goals. But even the most ardent exercise enthusiasts may not know what whey is. A product of cheese-making, whey is the water element of milk that separates from the curds when cheese is being made. People with milk allergies may want to avoid whey protein, as it can trigger allergic reactions. Men and women with kidney disease also should consult with their physicians before taking any protein powders. When bodybuilders take whey protein, they typically do so in the form of protein shakes, which help nourish the body after a workout.