Given that protein helps repair and build muscle, the general consensus is to take your protein in a highly bioavailable form immediately after your workout (within 30 minutes). Your body will be hungry for nutrients so getting something highly bioavailable into your body at this time is optimal.
Mixing your protein powder with water will help your body absorb the nutrients most quickly but you can use whichever liquid you like best to mix your powder with.
In addition, lots of people also have a protein shake when they wake up, as a healthy option during their day to keep them feeling fuller for longer or before they go to bed. There really is no hard and fast rule so go with what works best for you.