A protocol is an interface that a class can conform to, meaning that class implements the listed methods. A class can be tested for conformance to a protocol at compile-time and also at run-time using the conformsToProtocol:.. NSObject method.
A delegate is a more abstract term that refers to the Delegation Design Patten. Using this design pattern, a class would have certain operations that it delegates out (perhaps optionally). Doing so creates an alternative to subclassing by allowing specific tasks to be handled in an application-specific manner, which would be implemented by a delegate.
They are related terms because you often see a Protocol created for the purpose of delegation. If I wanted to allow a delegate to sort something, I'd create a Protocol with a required method listed such as "sortMyCoolStuff:.." and I would require the delegate to implement it. That way, within class that supports calling to a delegate, I can accept a pointer to a delegate and then can say "if that delegate conforms to myCoolProtocol, I know it implements sortMyCoolStuff, so it's safe to call that method instead of doing my built in behavior"