When should I drink a protein shake?

I go to the gym regularly now and have been for the past few months. I also started to use protein shakes to help me.

At first, I took the advice from the box of protein to drink it immediately after the workout. This meant I would drink it after I finished at the gym. However I have seen people drinking them during their time at the gym, instead of plain water. This meaning that I would drink a bit after each activity at the gym.

I was just wondering if this made any difference and if so, which one is more likely to be affective?

I could just be being stupid but if you could just give me some advice or any help, it would be appreciated.

Thank you! :)