Yes. Whey is the most easily absorbed by the body. The time in which you would need to consume Whey is directly after your weights session. It can of course be used at other points in the day, in the morning is the other time I personally use Whey as your metabolism is at it's lowest when you wake, so feeding your muscles with something that digests quickly is a sensible thing to do.
Whey should be an important part of your diet. After training, aim to consume 20-30g of Whey, alongside 40-60g of simple sugars, i.e. Glucose. And YES, the sugars are equally as important as the protein post Training. Why? Because the stores of glycogen in your body are seriously depleted as fuel during training. If you don't replace them, then the body will convert the protein you need to replenish your blood glucose levels.
So to summarise. Whey is a big yes from me. When to take it? After training is a must with simple sugars and again once in the morning. This supplement here CNP Pro Recover (1.28 kg) is a good tasting all in one for after training.
So I use a supplement from my protein and generally consume it twice/three times a day. Your comment about sugars is something which I didn't necessarily know, however, being a diabetic, see this is an issue. Any suggestions?