Whey is a side product of making cheese. It comes from the liquid that is left out when the cheese is produced. The liquid itself has many health benefits, and it is especially good for liver health. However, it has one major disadvantage - strong, and rather unpleasant smell. The second issue is that it is mostly water, and you would have to drink really a lot in order to get any benefits for your muscles.
To make it more beneficial for our bodies that liquid then goes into a process where it gets purified, separating important compounds valuable for muscle building from leftovers. In the end, instead of a smelly liquid, you end up with a convenient whey protein powder we all know.
However, depending on the type of process and methods used to make the powder, the end product will have different concentration of proteins. We will get to that later.
Whey is the best quick-release protein, meaning it will get into your muscles much faster than, for example, casein. That's why people like taking it around their workouts, especially after, when their muscles are "hungry". Also, that means that whey protein is a better choice if you want to take smaller, but more frequent amounts of it, like bodybuilders do.
Furthermore, whey is a complete protein. That means whey protein contains all nine essential amino acids, and you only need to take whey to get all of them. Animal-based proteins are usually complete. For plant-based proteins, you typically need to combine two kinds in order to get all nine needed amino acids, for example, rice + beans proteins are a good combination.
There are many other health benefits of whey protein. It may lower your blood pressure, help with diabetes, reduce inflammations, it also has positive antioxidant effects, and it can help you lose weight.