Protein shakes DO work, but only as a addition to your diet. I recommend you fixing that first, other wise you'll be causing your body more harm than good.
As far as protein shakes go, you'll want to first make out a solid meal plan to take them with. I like to make natural protein shakes rather than using that powder crap (2 or 3 cups of milk, with fruits, a egg, and some icecream) , however if you do choose, you may want to start with a weight gainer; Which is more a HUGE meal in the form of a liquid. Protein shakes are more or less intended strictly for taking after your work outs to feed your hungry muscles.
Also, you should invest into some egg protein for overnight while you sleep.
Your goal should be to get your caloric intake to atleast 3300 calories, with that you'll be putting on some weight, any weight will be good for now since you're skinny as you say you are, it will also provide more energy so you can further your exercises. Make sure to include oats, milk, red and white meats ( NO PORK). I recommend white meats though, because they generally are lean and have much less fat than red.
Try to get in about 5 or 6 meals a day, 3 being large meals (roughly 1000 ~ calories + each), and the rest snacks inbetween.
I also recommend buying creatine to jump start your workout, it will give you LARGE amounts of energy and endurance. Don't hit the gym just yet, give yourself about a month's work of homework outs/dieting/weight gain, with creatine and a higher caloric intake you should put on atleast 10 - 15 pounds your first month, most being water weight, but def a improvement.
Also, you will want to make eating, and working out a habit first. Because it will be hard to just jump right into.
As for feeling nauseated, you probably are using bad form, or not stretching before you begin.
Good luck






