Having protein in urine due to lupus. Does drinking protein shakes (to gain muscle for exercise) affect the protein activity?

Doubtful. It is related to your disease activity. However if there is impairment in kidney function, you should limit the protein intake.
Proteinuria. Your kidneys are probably affected by your lupus. See a nephrologist (n) to have a 24 hour urine for creatinine clearance and protein to see what your kidney function is and how much protein you have in your urine/day. If you have no serious impairment of your kidney function due to your lupus, you can have protein, if you do that is a different story. Speak to your physician and ask to go to a n.