Your symptoms are actually really common. About 90% of adult humans have a lactose sensitivity or intolerance. I know myself personally that if I consume any milk products or a protein supplement that contains lactose, it absolutely destroys my stomach.
There are two main types of whey protein available: a whey protein isolate and a whey protein concentrate. The problem with a whey protein concentrate is that it will contain a few grams of lactose (the milk sugar naturally occurring in dairy products) per serving. The majority of adult humans have a lactose sensitivity which can cause GI issues like gas, bloating and diarrhea. A whey protein isolate on the other hand is essentially pure protein and will have only trace amounts of lactose.
When purchasing a whey protein isolate you want to see nothing in the ingredients list besides whey protein isolate, natural flavours, a natural calorie free sweetener like stevia and maybe some salt, cocoa powder and soy lecithin.
I personally use the whey protein powder wheytobuildmuscle from n2bm.com. A 30g scoop has 24g protein, 2g carbs and 0g fat.