It's not a protocol. It's just a sub-domain like "mail" in "mail.yahoo.com".
Example:
In "*.yahoo.com", "yahoo.com" is the actual domain name. (In fact, "yahoo" is the 2nd level and "com" is the top level domain name.)
Here * is called a sub-domain and can be anything like www, www22, chat, mail, greetings etc.
It's just that "www" is the most popular sub-domain and is mostly used to present the entrance to a website to its visitors.