I used to really like Orange Julius's, so I tried this on a whim, and it was pretty tasty. Enjoy!
Milk and egg protein powder (Check the label. You want about 2 blocks or 14 grams of protein)
1 cup 2% milk
2 teaspoons slivered almonds, one teaspoon more if low-fat milk is used (I actually prefer to eat these separately, but you can also add it to the shake.)
1/2 teaspoon vanilla extract
Blend peeled orange in blender until liquefied. Add protein powder (and nuts if desired), blend, then add milk and blend. Add ice cubes and blend until you get the desired consistency. I put it in the freezer for about 30 minutes to get a more frozen consistency. Enjoy!