Maybe you know the isolectric point of your protein of interest, and the pH range at which it is stable. Depending on these information, you can use anion or cation exchange. For example, if your protein is stable at pH values that are below its isoelectric point, you have to use a cation exchanger, as carboxymethyl (CM) sepharose. Use diethylaminoethyl (DEAE), an anion exchanger, if your protein is stable at a pH range above its isoelectric point. If you lack this information, you should try both exchangers and see which one gives you better fractionation while maintaining protein activity. Ion exchange is easy to perform, tell us if you know something about your protein and what your initial sample is.
If you need your protein with its activity at the end of the purification, you will need to understand how stable your protein of interest is at different temperatures. This understanding guides you to whether to run your ion exchange experiments at room temperature or at 4 degrees.
From your brief question, i guess you do not know much about your protein and therefore you may not be able to tell whether to use an anionic or a cataionic exchanger. For this reason, you may have to choose either to start with. Once you run your chromatography, you will have to concentrate then assay the fractions to understand where your protein of interest lies (whether it was bound or not). Then you will have to run the fraction with activity on a native gel so understand your protein better and not SDS PAGE. This will give you and idea on the next set of chromatographic separation to use - if you do gel filtration, then it informs you roughly how close the other proteins in the mixture are to your protein and so how long your column should be. You can also choose to use HPLC, though care is needed because of the use of the chemicals which sometimes denature your protein of interest.