The theory that many body builders believe is that the body will absorb more of the protein if consumed within one hour of training. Having the shake before will also add to the queue of protein the body can absorb.
It is true that the body absorbs protein at different rates depending on the type of protein and whether you eat a regular meal close to when you take the protein. When you train, it does set many things in motion regarding your hormone balances. For instance your muscles are more sensitive to insulin, which having carbs after training helps recovery and minimizes the risk of turning those carbs into fat.
However, the studies in relation to protein timing are fairly inconclusive. As long as you have the protein you need throughout the day, you will be fine.
Perhaps a better alternative to a protein shake would be a dose of Branched Chain Amino Acids (BCAA) before and/or during training. These don't tax your body as much to digest because they are pretty much broken down already. However, they do help your recovery and energy levels while you lift.