Trying to understand protein!

I am trying to understand protein.  It doesn't make a whole lot of sense to me.  I drink a protein shake for breakfast every day that supposedly has 30 grams of protein in it.  You would think that would keep me full for 4 hours but it doesn't.  That's fine.  I prefer eating smaller meals/snacks frequently throughout the day.  But...I wish I could feel full more than I do! 

Right now, my exercise of choice is walking.  On the weekends, I walk first thing in the morning before I have anything to eat. I do not have any problems.  I could keep going and going and going...  During the week, I can't do that because I work.  (I'm not willing to get to the gym at 4:45, I value my sleep)!  I walk for about 40  minutes and start to feel the "let down".  By the time I complete 45 minutes or so, I am shaking like a leaf.  I generally eat a Fage yogurt before I go which has 13 grams of protein in it.  You would think that would hold me.

Since I started listening to the podcasts on Half Size Me, I have learned a lot about food.  I am realizing that I probably need more food each day than what I am eating.  I know I am right at the edge of figuring all of this out.  I have asked advice from an "expert" so I'm excited to hear what she has to say.  Oh, so much to learn!  Carbs, protein, sugar, fiber, UGH!