You have to diet to lose weight. By diet I mean to consume less calories than you burn. As i said before the only reason you would gain fat is if you are taking in too many calories. Gaining weight can just mean water weight - are you sure you just didnt gain a few pounds of water weight? How much weight did you gain and over what period of time?

As for the "lack of vitamins and fat", well its a protein shake so as it suggests its mainly just protein. If you live off of them your diet will be deficient in vitamins and fat. It should be used only as a supplement to increase your protein intake, where you get fats and vitamins from other foods. Like anything if you buy the cheap ones then they probably will have junk in them, so buy a decent pure whey powder and you wont have any problems.