Interactive tutorial that tells you more than you'd want to know. Gives a good feel for structure factors.
There are many protein structure visualization programs that render PDB files as pretty pictures. PDB (Protein Data Bank) files are primarily long lists of coordinates that are impossible to understand without a viewer. The simplest viewers just make a 3D representation of the protein; more complicated ones will analyze the structure as well (for instance, generating Ramachandran plots). Some are standalone programs, others run in web browsers; some require you to separately download a PDB file to your computer, others will fetch the file from the PDB depository.
Eric Martz at UMass has a nice summary with links to different flavors of viewers.
The primary source of solved structures' PDB files is RCSB. You can search for the protein of your choice and view its structure from within the RCSB website; for instance here are various options for viewing the structure of myoglobin; pick either "FirstGlance" or "WebMol Viewer" from the menu on the left. For simple visualization of structure from within a web browser, I like FirstGlance. WebMol is more powerful but also more cryptic. Note that versions of these programs exist outside of the RCSB website (as linked above), but I usually find it more convenient to use viewers integrated with the structure database itself.