What is a DOS program working in protected mode?
A, a program started in real mode, then make the machine into protected mode and then work
or
B, a DOS-Extend program generated by DOS/4GW or other SDKs

if B, the program file structure is much like NE or PE format. It has a stub running in real mode and real codes running in protected mode. The stub often search for the DOS-Extend program such as dos4gw.exe, the DOS/4GW Protected Mode Run-time, load it, and instruct it to load your program to execute.