The protege5 has a shifter extension attached to the shifter because Mazda wants it to look like a truck shifter. If you remove the shifter extension, there is no thread to put on the msp knob, you will either have to thread it, or get a knob that doesn't "screw on" but instead uses set screws to hold the knob in place.
Your options are to either remove the extension and put on a non-thread knob, get the msp shifter, or just get an aftermarket short shifter like b&m or kartboy or something.
If you decide to remove the extension, all you need to do is take off the panel covering the shift boot, remove the shift boot, and use a blowtorch to heat the base of the extension for about 30 seconds. Pull the dreaded thing off and use a knife to cut off the remaining rubber. Hope this helps! Happy torching!