Do protein shakes matter?

After today's workout, which was tough to grit through, I suspect that protein shake thingies actually do make a difference. My muscles felt sluggish even though I was doing exactly the same thing that I'd done a couple of weeks ago. Only real variable was that I hadn't had a protein shake thingy today. (I may have also failed to have my iron pill.)

??? Is it all in my head, or is there some positivist A-B split science behind this ???

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1. Walked a mile to the gym
   
2. [1 minute on (35 spm / 1:55), 1 minute off] * 3 on erg, resistance = 4
3. Stretch
4. 3 x 8 @ 80 lat pulldowns, 30 second walk with arms above head in between sets
5. 1 x 8 @ 90 squats, 30 second walk to find a trainer to show me how to re-set it correctly
   
6. 3 x 8 @ 70 leg curls, 30 second walk with arms above head in between sets
7. 3 x 8 @ 20 bicep curls, no rest in between sets, stood on tiptoes for middle set
8. 3 minutes on (34 spm / 1:56), 2 minutes off on erg, resistance = 9
   
9. Back stretch on the stability ball thing
10. Rest of stretches
11. Sauna / steam / shower
12. Walked a mile home

I have decided that I am totally counting if I walk without sitting for at least a mile, because, well, baby steps. Right?

I'm also considering joining a second gym because my friends keep asking me if I'm a member of Equinox (I'm at NYSC right now due to its proximity to my former office). Is that totes crazy?

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Taken en route to the gym