A broadband depolarized light scattering (DLS) study is performed on diluted lysozyme aqueous solutions as a function of temperature and concentration. The dynamical susceptibility, obtained in a wide spectral range (0.6-36000 GHz) through the coupled use of interferometric and dispersive devices, is interpreted and compared with neutron scattering and Raman-induced optical Kerr-effect literature data, thus giving a general picture of relaxation phenomena. We show that the proposed approach represents a suitable tool for investigating the hydration dynamics of protein-water solutions. A detailed analysis of the quasi-elastic scattering region evidences the existence of two distinct relaxational processes at picosecond time scales. The fast process (fractions of picosecond) is attributed to bulk water dynamics, while the slow one (few picoseconds) is attributed to dynamical rearrangements of water molecules strongly influenced by the protein (hydration water). The retardation effect here estimated of about 6-7 can be regarded as a direct measure of the increased protein-water and water-water hydrogen bond stability of the water molecules within the protein hydration shell. Interestingly, a similar effect was previously observed on small hydrophilic sugar molecules. Moreover, backbone and side chains torsional motions of the protein in the 600-5300 GHz frequency range are found to be insensitive to thermal variations and to eventual changes occurring in the premelting zone.