A spell or ability that counters spells can still target Frenzied Baloth. When that spell or ability resolves, Frenzied Baloth won’t be countered, but any additional effects of the countering spell or ability will still happen. The same is true for creature spells you control while you control Frenzied Baloth.

Frenzied Baloth’s last ability only stops combat damage from being prevented by effects that specifically use the word “prevent.”

Protection prevents damage, so protection will be unable to prevent combat damage while Frenzied Baloth is on the battlefield.