QGIS reports that my .shp file does not have "Protocol" source type

When you try to add data on QGIS you could choose between different data type (File, Directory, Database and Protocol:HTTP(S),cloud,ect?)

The error you get state that the chosen "Protocol" source type has failed to load the data and suggest that you try the File source type.

As shapefile are of the file type you must choose File to be able to load it.

A shapefile consists of several files, of which .shp, .shx and .dbf are mandatory. These should be located in the same folder or in a zipped container. Open the shapefile by just dropping the .shp file or zipped container in the map frame, or use Ctrl+Shift+V.