We use Wang-Landau sampling with suitable Monte Carlo trial moves to study a hydrophobic-polar (HP) lattice protein confined between two parallel, attractive walls. The density of states is determined iteratively by a random walk in energy space. Thermodynamic and structural properties, such as specific heat, number of surface contacts and number of H-H monomer pairs, are then calculated. When the surface attraction is comparable to the internal attraction among the hydrophobic monomers in the chain, two conformational "transitions", adsorption at higher temperature and collapse at lower temperature, have been analyzed based on these properties. This transition behavior depends on the variation of surface separation.