That's weird. I just tested this on both 2003 and 2007. As soon as I'm in the last unprotected cell in a row, hitting the tab key automatically moves me to the first unprotected cell in the next row.

A quick glance through the options box and the Protect settings doesn't show anything where you can change this behaviour. I can't see why yours would be set differently.

Can you run a test on a new spreadsheet with no data? Just unprotect a few cells, then turn on Protection. Does it still wrap back to the same line?

edit to add:

One other thought. I've seen weird behaviour when you have two or more cells merged together. Tabbing through unprotected cells gets confused sometimes in that case.