Protein will of course degrade over time, and this isn't unique to only protein by any means. Heat and light to a lesser extent can both accelerate this process.
As far as effectiveness and going "bad" those are really two separate things. A little degradation is one issue, but whether microorganisms helped, or whether they're present in significant amounts, period, is another issue all together. This is where I really don't think it's worth it. If it begins to become discolored, smells odd, etc., I would discard it.
I honestly can't tell you that the protein you've bought is going to be fine or not and when it's going to be worthless as I have no clue what their particular practices are before it even reaches the store. I personally wouldn't bother purchasing expired protein. Aside from safety issues, I can't see that you're saving more than a dollar or two, at best, compared to various outlets on the Internet and Grow! and so forth.
In the mean time, avoid leaving your protein powder exposed to the air any longer than you have to. Store it in a cool, and especially dry area. In fact, you may want to store it in the freezer if you don't plan on consuming it within a little while.
In the future, spend a few extra bucks and get something that isn't expiring in a few weeks.