Some ideas concerning the properties of Langevin equation and its applications to the protein folding process are introduced in this paper. Continuous mapping of Langevin equation is constructed in the phase space and a clear inhomogeneous distribution at position of the Brownian particles is discovered, which is consistent with the hypothesis of the nonergodicity of space structure of protein molecule in the folding process. Besides, a random coil with the same compactness index as proteins in the denatured state is obtained by simulation under the self-avoiding walk condition. Taking the hydrophobic effects as well as the renormalization model into consideration, we present the method to simulate the process of protein shrinking from a random coil to a molten globule.