Whey protein is important in two ways in particular.
No.1. is that if you are working out and trying to build or maintain muscle mass your body requires at least 1g of protein per pound of body weight per day - so a 200lb man should aim to consume at least 200g of protein per day ideally spread over 5 or 6 meals every 3 hours or so.Proteins are the building block for muscle.Many people find it difficult to consume that much protein in the form of meat/fish/eggs or whole food etc therefore supplementing with a couple of whey protein shakes per day allows them to do this.
No.2. Whey protein is very quickly absorbed and digested by the body which is why you'll see people having a protein shake before they even leave the gym.During the 30mins just after exercising your body & muscles will soak up nutrients like no other time and a whey protein is by far the most efficient and quickest ways to shuttle those nutrients into your muscles - making this the most important time to have a whey protein shake.
Other proteins such as casein are more slowly digested making them more suitable for a shake before bedtime or anytime when you're not going to be able to eat as regularly as you should.