Whey protein = constipation?

Sorry, gross, I know....

I'm a pescetarian (I eat fish, eggs, and cheese but no other meat) and I've recently started drinking 1 whey protein shake a day in order to add more protein to my diet (and also because I weight lift 3x a week). Since I've begun doing this, I notice I'm having major trouble with #2. I thought at first that I wasn't getting enough fiber, but after some analysis (and the addition of a serving of fiber one to my diet), I'm thinking this isn't the problem. I'm extremely bloated and uncomfortable and I feel like I've put on 5lbs and have a major food baby all the time! :( I drink upwards of 60 ozs of water a day so I don't think it's a problem related to the fiber/not enough water.

Has anyone else experienced this? Should I switch to soy protein? I worry about too much soy intake...

For reference, I've drank Designer whey protein in chocolate, and GNC 100% Whey Protein in vanilla.

Oh and in case it matters...I'm 5'3"ish (a little shorter), 120lbs, female.

Thanks!  Did you switch to a vegetarian-type of protein?

Thanks again

Sherri