"don't exercise" is great advice if you just want to get fat...in which case there's no need for any protein supplements, just follow a "see food" diet.
If you actually want to build muscle and get stronger, then definitely do exercise, and eat more than you're currently consuming. You still don't need a protein supplement, though -- just drink milk, eat meat/eggs, get your fruit and vegetables, and consume plenty of calories (from protein, carbohydrates and fat).