The axons of myelinated neurons are embedded in a protective covering of?
He's right it's really mylein, whoever made the test that some of your bio multiple choice questions came from did a crappy job :-P.  The answer you need is Schwann cells because they make the mylein, which really should be the answer.  Schwann cells only make mylein in the peripheral nervous system though.  Oligodendrocites make it in the central nervous system.
Are you looking at any protein in particular?  Look up in situ hybrdization for proteins ( at least it will give you an idea where it is localised).  I think that it would really depend on the system ad proteins that you want to study, so I am not sure how much else I can tell you, sorry.