If you look at the ingredients list on your protein supplement, I will be you any amount of money it says 'whey protein concentrate'
There are two main types of wheyprotein available: a wheyproteinisolate and a wheyprotein concentrate. The problem with a wheyprotein concentrate is that it will contain a few grams of lactose (the milk sugar naturally occurring in dairy products) per serving. The majority of adult humans have a lactose sensitivity which can cause GI issues like gas, bloating and diarrhea. A wheyproteinisolate on the other hand is essentially pure protein and will have only trace amounts of lactose.
Your symptoms are actually really common. About 90% of adult humans have a lactose sensitivity or intolerance. I know myself personally that if I consume any milk products or a protein supplement that contains lactose, it absolutely destroys my stomach.
I personally use the wheyprotein powder wheytobuildmuscle from n2bm.com. A 30g scoop has 24g protein, 2g carbs and 0g fat. Wheytobuildmuscle is a pure isolate and doesn't upset my stomach at all.