I am in disagreement with the accepted answer. If something contains milk, it contains lactose. Whey protein powder is a by-product of cheese production and, in essence, a milk product. A Whey Concentrate can vary between 29% - 89% protein by weight and Whey Isolate is considered 90%+ protein by weight, with the remaining being carbohydrates in the form of lactose. There's a good chance that you will not be fine with any whey protein you eat.
If you're lactose intolerant and determined to consume whey protein, your best bet is going to be to look for a 100% Whey Isolate as it will be lower in lactose. Don't confuse this with a 100% Whey Protein Blend as they are not the same thing.
Additionally, many protein powder manufacturers will add lactase (the lactose digestive enzyme) into their protein powder to aid in digestion. Look for this in the ingredient list. Any whey protein listed as "lactose-free" is likely just loaded with lactase. This is the same way they sell lactose-free milk and yogurt.
In agreement with the accepted answer, however, there are many alternatives. Vegetarian protein options (vegan blends, pea, hemp, soy) and of course the gold standard which is whole foods (meats, eggs, legumes, etc).