SD card protected area
Explanations of the "protected area" functionality are very brief [...]
  Is it in anyway related to CPRM?


Yes. It holds the encryption keys related to any files which are encrypted according to the CPRM specification by an "SD CPRM host" (which is not a typical digital camera or PC etc.).


  
    Content Protection for Recordable Media (CPRM), the content protection technology used for SD standards, is key to enabling a distribution system for music, video, etc. CPRM provides a high level of protection against illegal copying. The content protection technology was developed by the 4C Entity, LLC, The digital contents copyright protection technology licensing organization of IBM, Intel, Panasonic, and Toshiba.
    
    The SD memory card CPRM function has the following features:
    
    
    Success of mutual authentication enables host to access card protected area.
    The protected area consumes small memory area because a content key is supposed to be saved instead of a large content.
    Revocation feature can prevent a specific host from accessing card protected area.
    SD CPRM Host Devices can playback an encrypted content mutually that is stored in an SD memory card.
    
  


Source for above text


  Does it use the whole card or part of it?


By default, on typical consumer cards, only a small part of the card is used for the "protected area" (e.g. 10s or 100s of kB, depending on the capacity of the SD card). Look at the specification for your specific SD card to see how much is used, or read the SIZE_OF_PROTECTED_AREA value from your SD card's "SD Status register".

As shown in the quote from the SD Association above, the idea is that only the encryption keys are stored in the "protected area", so that area doesn't need to be large enough to hold the encrypted files themselves. Encrypted (i.e. DRM-protected) files can be stored in the normal "user area" of the card, and hence can be backed-up etc.


  Is it a form of write protection?


That depends on your definition of "a form of write protection". Access to the "protected area" is deliberately limited (e.g. special access protocol etc.) so you can't easily write to the "protected area" - but you also can't easily read from it either. Therefore I don't see it described as write protection.


  How can I set one up?


You can't. A normal SD card already has a "protected area" and only one is allowed.


  [...] and I want to know more. 


You would need to get access to the licensed documentation for CPRM (see the 4C Entity website) and the SD Security Specification documents (which are not public).

An example of using CPRM in SD-Audio is explained here in Japanese, however the full details of the encryption keys etc. are only available to licensees (under NDA).