I don't know if the liquid protein shakes use whey. Best I can tell I don't have a problem with the powdered whey other then the amount of liquid needed
I would do what predatorkeeping advised. Its been 3 or 4 yrs since i was lifting and i dont remember what brand i was using. Www.bodybuilding.com has a great selection.
You can make them as thick as you like dont have to use water can go with reg milk, soy, coconut water anything really