Whey, you should remember from Lactose Intolerance 101, is the watery portion of milk that gets separated from the solider curds during cheesemaking. Take away the water and you have a mass of whey protein and lactose left. Both can be processed out and used in all sorts of ways. No pun intended.
There are two basic types of whey protein. Whey protein concentrate is just the powder that's left when the liquid whey is dried. It has a heavy lactose content, sometimes more than 50%. Whey protein isolate, as the name indicates, tries to isolate just the whey protein by removing the lactose. Whey protein isolate should be at least 99% pure protein, and I've seen it used in products that advertise themselves as lactose free.
How do you know what to do if the product doesn't specify concentrate or isolate? Unless there are other obvious signs, like a lactose-free label, I would avoid these products until I could doublecheck with the manufacturer.
I found a site called WheyImproved.com that has a multitude of articles on all things whey. The following is from Lactose Free Whey Protein:
Like the regular whey protein food supplements which come in the form of shakes or concentrates, lactose free whey protein food products help in muscle gain and in boosting the body�s energy level and immune system. These provide lactose intolerant people the complete health benefits of whey protein without causing gastrointestinal discomfort, diarrhea and other symptoms that affect daily life activities.
Lactose free whey protein food supplements are manufactured through the process called micro filtration. This process uses a ceramic filter to remove fat, carbohydrate and lactose from whey and isolate and purify whey protein. For every 100 grams of whey powder, 94 grams of protein is recovered which is relatively free of lactose, carbohydrate and fat. This final product is ideal in formulating food supplements fit not only for lactose intolerant individuals but also for those who are under the Atkins diet and other ketogenic diets.
Even though milk allergies can be specific to either the casein family of proteins or the whey family of proteins, many people are allergic to both. I would not recommend whey protein products for anyone who has a dairy protein allergy.
There's also a rarer variant called milk protein that will also have casein powder. It comes in a variety of blends that range from 46% lactose to 1% lactose.