To answer your questions in the order you asked them:
It is impossible to just lose fat in one certain area (eg your belly). Unfortunately to lose that fat, you have to lose fat all over. This is achieved through a healthy, balanced diet and lots of cardio. There are lots of cardio exercises you can do, and you will find that you enjoy some more than others. Running, swimming, rowing, x trainer, stepper, skipping, sex all the things that get you out of breath are excellent at burning fat (obviously you can use the machines at the gym for most of these activities!!)
Cardio will burn fat and also tone existing muscle. To gain mass (in the form of muscle) you need to train with weights. To add muscle to the thighs and bum, try a barbell squat with a fairly heavy weight on it. There's lots of good tips and info at these links:
http://www.body-building-resource.com/bb74.shtml
http://www.criticalbench.com/exercises/barbell-squat.htm
http://www.bodybuilding.com/fun/transf107.htm
http://exrx.net/WeightExercises/Quadriceps/BBSquat.html
Finally, yes, you should take protein shakes after training. This is especially important after using weights. Protein is the buildng block of muscle, so if you have stressed the muscles, they are screaming out for protein to help rebuild themselves. I don't think protein shakes should replace meals. They are more for the muscles specifically. You, as a person, still need to follow your own diet!
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