Protein folding is a complex process involving physics, chemistry and biology. Multidisciplinary approaches have to be used, including thermodynamics, statistical mechanics, polymer dynamics. The attempts to develop protein folding models solely at macroscopic or microscopic scale still face huge difficulties. It is believed that statistical thermodynamics is a prior way for addressing protein folding problem. In this work, we reviewed the mechanism of important non-covalent interactions in water solution, such as hydrophobic effect, hydrogen bonding and electrostatic interactions. The effects of non-covalent interactions on protein structure stability is discussed. The understanding of relationship between non-covalent interactions and entropy/enthalpy/free energy is essential for developing statistical thermodynamics theories, as well as for proposing microscopic statistical interpretations for macroscopic thermodynamics.