Protein in general is just REALLY good for your body: it builds the framework of your body including muscles, organs, etc. it helps your body digest food, tells your body when to use food as energy and when to store it as fat, it transports oxygen through your blood to your muscles and organs and helps prevent illness.
If your goal is to burn body fat, you want to build muscle and protein is a key player when it comes to that, in terms of dietary intake (testosterone is also a major player, and why women have to work that much harder to bulk up than men, but short of steroids, you can't really boost that through supplements or dietary changes).
Whey protein (powders) are a high quality form of protein that helps you build muscle and burn fat and has a low calorie footprint, so it's a pretty common protein supplement.
Keep in mind; however, that your body can only process so much protein at a time (20-30g average per person, but that can vary wildly). It takes effort for your body to break protein down into a form it can use (digesting protein supposedly burns twice as many calories as digesting carbs), any excess literally gets pissed away, so if you eat 150g of protein in 2 sittings, odds are your body is only really getting less than half of that, so space it out!