An important factor here is that protein functioning requires specific conformation. If it misfolds, then, at best, it will be disfunctional, at worst it may result in harmful effects for the cell (indeed, protein misfolding is the cause of some serious illnesses). Note also, that proteins fold into the required configuration only under specific normal conditions - temperature, pressure, acidity, etc.
Proteins that we observe nowadays have evolved over millions of years to be functional - in other words, all the proteins that had a high risk of misfolding, resulted in the extinction of the species that possessed these proteins. This is why there are only about a thousand of known functional protein configurations, despite millions of different protein sequences.
It is not entirely true that a protein folds in one lowest energy configuration - there is plenty of evidence that it explores the phase space around this configuration.
There is nothing wrong with the fact that the entropy is not maximized, since we are dealing with a non-equilibrium situation - called life. A cell can be thought of as a heat engine, which obtaines energy from one reservoir in the form of sugars, etc., uses this energy to perform useful work - constructing proteins and other molecules, and dumps the unused energy into the environment. Thus, in some cases proteins are chaperoned by other molecules to a specific configuration - they are not guaranteed to adopt in a lab the same configuration that they adopt in a cell.
A useful introductory text in protein folding is Kerson Huang's short book.