What parts are you looking for? The protege aftermarket is pretty thin, but you can get parts from certain places depending on what you are looking for.
Congrats on the P5. Looks like it's nice and clean.
http://corksport.com/mazda-protege/
http://www.racingbeat.com/Mazda/Protege.html?id=nePGGX8W
Here's a couple to start with. Both have good reps and wont rip you off.
Welcome! Crossover auto also has a good selection of Protege parts, but they are a bit pricey. But you can cross reference any part numbers you find on there to see if anyone else sells it for less.
I did a bixenon HID retrofit with parts from theretrofitsource.com. There's a bunch of how-to's for that. CR3motorsports has a bunch of protege parts too.
http://cr3motorsports.com/Protege