I'm sure Mormons are neither Catholic nor Orthodox. There is no doubt that they are Christians but I'm not sure they are Protestants or not.
Are Mormons Protestants or they are just "Latter Day Saints"?
No, not really. While you might find them sometimes lumped together, they aren't a subset of the class.
In some popular usage, the term "Protestant" has come to mean anything that doesn't properly fall under the umbrella of either Catholicism or Orthodoxy. In this sense where there is no "Option D, none of the above", one would have to throw them in with the rest of Protestantism.
There is, however, also a fundamental difference: their theological roots are not the same. The LDS church is what is sometimes referred to as a "restorationist movement" - a reference to their theology's claim to be restoring something that was lost. While they agree with Protestants that the Catholic church lost it's way, their proposed solution varies radically from that of Protestantism.
The basic tenants of Protestantism as a movement include rejection of a few Catholic doctrines and ultimately the Catholic church's claim to apostolic authority. In rejecting some of the core tenants of Catholicism, it based itself instead on a core set of doctrines (often loosely summarized in the "5 solas") that all require a certain reliance on the Scriptures as authoritative and un-corrupted.
The LDS church on the other hand is fundamentally based on the premise that Apostolic authority was lost (much earlier than even the rise of the Catholic church) and needed to be miraculously restored. This and other revelations are believed to have been given independently (and in opposition to) the existing claims of the Bible and historical Christian churches (whether Catholic, Protestant or Orthodox).
In other words, while they would also protest against Rome, their basis for doing so is entirely independent of the Protestant reformation and theologically they should be considered a sect (or cult depending on who's definitions you're using) outside of the theological umbrellas of Catholic, Orthodox or Protestant traditions.
Latter-Day Saints do not consider themselves to be Protestants. The most fundamental concept of the Protestant tradition is an attempt to replace Catholic traditions and Catholic theology with a reformed theology derived from reading the Bible and attempting to interpret it properly.
Latter-Day Saints believe that this is impossible to do successfully; that the Scriptures were given by revelation, and can't be understood in their fullness by the wisdom of men alone, but require the same spirit of revelation and prophecy by which they were given in the first place (2 Pet 1:20,21). Therefore, because the original Church had become corrupt and apostate, (Mormons agree with Protestants on this point,) what was necessary was not to reform the church and its doctrines, but to restore them in their purity, through revelation and direct divine intervention. The official LDS doctrine of the Restoration is explained on Mormon.org.
Mormons and (most) Protestants agree that this puts Latter-Day Saints outside the Protestant tradition.