Protein shakes aren't necessarily going to help you gain weight. A mass gainer shake will though. Here is my favorite at the moment
1-2 cups skim milk (or fattier milk if you want more fats and calories)
1-1 1/2 cups oats
1 rounded scoop of ATW Cinnamon Bun protein
1-1 1/2 tablespoons extra virgin olive oil
That'll get you anywhere between 650-850 calories depending on the amounts of each, plus oats have 10g of protein per cup, so that doesn't hurt either
. Take that against a normal "protein shake", which is likely 1-2 cups of milk and 1 scoop of whey at around 350 calories.