A calorie is a unit of measurement of the energy stored in food, which is released and absorbed by your body when you eat that food. When you eat food, your body uses some of the energy stored in it to fuel itself, and if there's excess, your body stores it for later (when times might be tough and food might be scarce). It's like charging up a bunch of batteries in case the power goes out.
This is why it's so important to keep track, at least in a general sense, of how many calories you're consuming every day. When your body stores excess energy, it does so as fat, because fat is easy to break down back into energy as necessary. The problem, of course, is that our society is glutted with available calorie-dense foods, so you never go into famine mode and start burning that stored fat. You simply keep putting more on, as long as you're eating more calories than you burn each day.
Eating a protein shake in place of a meal can be one good way to help yourself lose weight. However, if you want to actually lose weight, you need to burn more calories than you consume. It's simple math: if you take the calories you eat, and subtract the calories you burn, you're left with either a positive or a negative number. A positive number means you gain weight, and a negative number means you lose weight.
The issue here lies in the ingredients in a protein shake and the habits surrounding when you eat one.
Do you eat a protein shake after your workout? It's entirely possible that you're eating all of the calories you burned right back and negating the benefits of your workout entirely.
Do you eat a protein shake in place of a meal? If so, you need to determine whether or not you're actually eating fewer calories. For example, a protein shake in place of breakfast might actually be more calories than a small, light breakfast would have been.
Of course, there are other reasons you might try to eat protein shakes as meal replacements. They're generally composed of whole ingredients, vitamins, and minerals, and thus can be healthier than an equivalent number of calories in starched white bread, processed ingredients, and unhealthy foods. You might not lose weight that way, but you could feel better because you're fueling your body with better ingredients.
Calories are Imprecise
Alright, well, that's not strictly true. Calories themselves are not imprecise; in fact, one calorie is actually a very precise unit of measurement.
When the calorie was first defined, it was defined as the amount of energy required to raise the temperature of one kilogram of water from zero to one degree Celsius. This calculation can be imprecise based on the environment, so in 1925, it was expressed as a number of joules of energy. One calorie is 4.18 joules. 
Though, reality tends to be a little more complex. That "calorie" above is a calorie of energy, but it's not the same calorie in nutrition. In nutrition, a calorie is actually 1,000 calories, which is why you often see food calories represented as kcal, or kilocalories. We just refer to them as calories because we're not all chemists and we don't care about individual small calories, we care about nutritional calories.
The actual unit of measurement of a calorie is precise, but measuring calories in food and in exercise is imprecise. Food is fuel for the body, but you can't just use an apple to raise the temperature of the water to measure the calories in it, so how do you determine how many calories are in a thing?
In the past, a calorimeter was used for this measurement. A food item was dehydrated and then sealed in a container with nothing but oxygen, then burned. Once the food was fully burned, the amount of heat generated was piped into the water to heat it, and the temperature change was measured.
This system sucked and was imprecise, though; for example, fiber burns and raises the temperature of water, but your body doesn't absorb fiber as energy so it's not actually providing calories for you.
These days, we break down the individual nutrients in a food item into proteins, carbs, fats, and alcohols. We know how each of those is absorbed by the body, so we can calculate how much energy each amount of each of them gives, and then put the resulting totals together into the total caloric content of the food item. It's called the "Atwater indirect system" and it's pretty complicated.
It's also imprecise, because, well, food varies. Pick up two apples from the grocery store and they'll have roughly the same number of calories, but they might have different levels of sugar (depending on ripeness) or different levels of fiber (depending on variety), and so on. All you can do is estimate roughly how many calories are in any given thing.
At the same time, the calories burned in exercise are also variable. Every exercise is given a "metabolic equivalent for task" number, based on scientific measurements of the body on people sometime in the past. These measurements check how much oxygen the body is using, the body's heart rate, and a whole host of other measurements, and uses those to calculate roughly how much energy that body is using.
Of course, someone who is heavier might be burning more calories just to move. Someone with more dense, powerful muscles might be burning more calories with each rep of an exercise because those muscles require more energy to power them. It's all very complex, and so the "calories burned when exercising" is an imprecise number.
All this adds up to mean that if you're counting calories in and out, you need to make sure your differences are in the hundreds of calories, not just a couple dozen, otherwise you're within the margin of error and may not achieve your goals.
Commercial Protein Shakes
Commercial food products have labels that indicate how many calories are in a food item. These are, of course, rough estimates, and are calculated based on the nutrient makeup of the food item. Still, though, you can read these labels to figure out how many calories are in protein shakes.
Commercial protein shakes, anyways. Making a protein shake at home means you have to calculate the calories of the individual ingredients, and… well. We'll get to that next section. First, let's estimate how many calories are in a commercial protein shake.
Here's a caloric content list for some of the top protein shakes available on the market today.
- Premier Protein 30g Protein Shake has about 160 calories in a single shake, which is 11.5 fluid ounces of shake.
- Muscle Milk 25g Protein Shakes have 160 calories in an 11 fluid ounce shake.
- Atkins Gluten Free Protein Shakes have 160 calories in an 11 fluid ounce shake.
- Orgain Grass Fed Protein Shakes have 130 calories in their 11 fluid ounce shakes.
- Pure Protein Complete Shakes have 140 calories in an 11 fluid ounce bottle.
- Labrada Lean Body Shakes have 280 calories in a 17 fluid ounce bottle.
- Evolve Classic Protein Shakes have 150 calories in an 11 fluid ounce bottle.
- OWYN Protein Shakes have 180 calories in a 12 fluid ounce bottle.
- Gatorade Super Shakes have 190 calories in an 11 fluid ounce bottle.
- Monster Muscle Shakes have 190 calories in a 15 fluid ounce bottle.
You get the idea. For a standard protein shake, you're looking at about 14.5 calories per fluid ounce. Some are a bit higher, like Labrada's shake going up to 16.5 calories per fluid ounce, but it's still within the same ballpark.
160 calories isn't really a "meal replacement" here. A protein shake is meant to refresh your body and sate cravings after a workout or as a replacement for breakfast, not to replace a full dinner or other meal. They aren't nutritionally complete like a meal replacement either. Meal replacements tend to have between 300 and 400 calories for most of them.
What About Homemade Shakes?
What about if you want to make your own homemade protein shake? Well, here's where things get tricky. You need to calculate the caloric content of every single ingredient you put into your protein shakes, figure out how much of each ingredient you're adding, and add it all together.
First of all, you have the type of protein powder you're using. Whey powder is about 100 calories for a scoop. Soy powder is much higher, at 175 calories in a scoop. Pea and hemp powders have about 130-135 per scoop. A scoop is around 30-50 grams or a quarter cup, so adjust these numbers up or down based on how much you're actually using. And, of course, check the label for the exact brand of powder you're using. Some of them had additives that add calories to the mix.
Then you have the base you use. Water has zero calories, but if you're using a different base, you have to calculate that. Skim milk has 83 calories in a cup, while whole milk has 146 calories in a cup. Soy milk has 131 calories in a cup, while almond milk has a mere 40 calories in a cup.
On top of that, you have to consider additives. Almonds have 7 calories each. An ounce of peanuts is 161 calories. Two tablespoons of peanut butter have around 188 calories, though it will vary by brand. An ounce of chia seeds is 138 calories. A whole avocado is 322 or so calories, depending on the size, of course, so cut that in half if you only use half of one. Fruits have a wide range: bananas are 111 calories each for a medium-sized banana. The apples are 95 each. Blueberries are 84 calories per cup. Kiwi is 112 each. Oranges are 62 each. Pears are 101 each. Strawberries are 49 for a cup. Vegetables are similarly broad; spinach is 23 for 100 grams, for example.
In order to calculate the total caloric content of your protein shake, you need to weigh or size up the amount of each ingredient you add, from base to protein powder to fruits and veg and nuts and everything else you choose to add. A few chocolate chips? Add them. A scoop of sugar? Add it. A scoop of moringa, or spirulina, or another supplement? Add those too. 
A homemade protein shake is almost always going to be more calories for a similar amount of shake as a commercial shake because you're adding whole ingredients instead of just neutral bases and flavor chemicals. It's also very likely going to end up larger than the meager 11 fluid ounces of the standard protein shake.
That's truly the biggest risk with a homemade protein shake. If you're making a shake at home, you're going to pack it with whatever sounds good, and you may make much more than you should consume at once, but eat the whole thing anyway. You might also be tempted to fudge the numbers and round down when you should round up, and that can lead to poor estimates. Combine that with overestimating the value of your exercise, it's easy to fail to lose weight when you think you should be.
The key is to be honest with yourself, really. Be accurate, be consistent, work hard, and keep a detailed track of your caloric intake and output as you can. It's never impossible to lose weight, you just need to pay attention.
