You should try to add some back and leg exercises into your workouts. Adding muscle will help burn fat.
Yes, whey protein post workout (with weights) will help build muscle. Whey protein pre workout (cardio) will help with muscle sparing. Good stuff, worth using!
I agree. Add leg and back. Don't be afraid of heavier weights at lower reps. And if you really want to do shoulders, shrugs aren't the way to go (your traps are really your back anyway). Shrugs don't actually hit your deltoids; military presses, lateral raises, rear delt raises--those hit your deltoids.
Since you're just starting you might be better served by a full-body split as opposed to a routine that only works each muscle group once a week.
And don't forget, whey protein isn't so much a supplement as it is a clean food and when you're trying to burn fat too much of a clean food is still too much food. Whey powders can be a very useful addition to a fat loss plan as long as you don't go nuts with it.