What exactly do you do in the gym, in regards to an exercise programme? Also what exactly do you eat in an average day?
Protein shakes are generally consumed by exercisers who wish to build muscle. Protein is necessary for muscle growth, so if you are quite active and do resistance training, then taking protein supplements may help to increase muscle fibre and therefore, make you heavier.
I don't think you should resort to diet supplements and pills, maybe your diet and exercise routine needs altering, so as to help speed up your metabolism.