I have a 94 mazda protégé and as soon as I put it in drive or reverse it shuts off

Some cars, such as Opel Capri, have a thermal protection system. It will shut the engine off, to protect it from overheating and damaging the aluminum head engine. I found this out the hard way, when I was in rush hour traffic in Genoa, Italy. It's possible Mazda has incorporated such protection systems in your Protégé. I would start by checking the engine oil and transmission fluid levels. After that, I would focus on the Transmission Range Sensor. Have you checked for codes?