JDRF is right !!!! It sounds like you are using the shakes as a substitute for food. They should be used in addition to the food that you normally eat and should be taken right before or right after working out. This gets the extra protien you are taking directly into the muscles that you are trying to grow. I would suggest a personal trainer for a few sessions to go over the basics of working out. That should give you the knowledge necessary to train properly. PTs should be revisited every once and a while to update your routines and monitor progress and change to accomodate your goals and achievements.
The key is adding calories, not just protein. If you substitute protein shakes for other foods that you normally eat that have actually MORE calories, then you lose weight. Your body does need some fats, too, and the healthy fats are the ones to go for. They can add calories quickly. Olive oil is great, and can be added in small amounts to most any food. Adding snacks throughout the day may be another thing that could help you.
It is not clear if you are a type 1 diabetic or not... I assume that you ARE since you came to this website. If your glucose levels are as tightly controlled as possible, this makes it easier to gain weight, too, for the carbs you eat are properly metabolized when glucose levels are normal. Many type 1 diabetics find that they gain weight when their doctors work to normalize their glucose levels, and they tend to blame insulin for making them gain weight. The real cause is that their carbohydrate foods are being used better when insulin is working.