Federal Treasurer Joe Hockey has brushed off a student protest that forced him to be escorted by police as he entered Victoria's Parliament House this afternoon.

Mr Hockey was on his way to meet his state counterpart Michael O'Brien when he was confronted by a group of student protesters who were demonstrating against federal funding cuts and university fees.

A spokesman for Mr Hockey said the Treasurer was surrounded by about 20 protesters before police took control of the situation. He said Mr Hockey was not hurt in the incident.

Mr Hockey has laughed off the encounter

"In my days protests were far more formidable and more excitable and they actually picked on the right person," Mr Hockey said.

"I was bigger than most of the protesters... so when they impeded my passage - all it meant was that I was running late for a meeting in Parliament House."

Mr Hockey accused the protesters of "going soft".

Sorry, this video has expired Joe Hockey laughs off student protest

"If they're going to protest they want to make it meaningful, and in my days they were much more meaningful," he said.

"They're entitled to a view, they're entitled to protest, you know this is politics.

"We're a free country, thank God we have the right to protest. But in my day our protests were a little bit bigger."

Protesters burned effigy of Tony Abbott

Police say about 100 protesters had gathered at the steps of Parliament, before marching through the city, stopping at a number of sites, including the State Library.

They chanted "no cuts, no fees, no corporate universities."

At one stop, they burnt an effigy of Prime Minister Tony Abbott, chanting "education is a right, not a privilege, we won't pay."

University students burned an effigy of Tony Abbott as the protested in Melbourne against Federal cuts and university fees. ( ABC TV )

The protesters then moved to the Liberal Party headquarters, where a number of protesters threw shoes, as a symbol against what they say are their "oppressors".

It was a symbol echoing the 2008 move by an Iraqi journalist who through a shoe at then-US President George W Bush.

Police say they made a number of arrests and have now charged four people with various offences.

They allege several of their members were assaulted, including one officer who was allegedly punched in the face.

But bystanders say mounted police were used against the protesters.

One bystander, George, says police on horseback charged the crowd.

""What I observed were the verbal taunts. I didn't observe anything being thrown around or any violence," he said.

"But what scared me more than anything was when the police lined up the mounted officers and went charging to the crowd."

A short time ago police issued a statement saying they were extremely disappointed with the conduct and behaviour of the protesters this afternoon.

Three men and a woman, all aged between 21 and 27, face a number of charges including assault, discharging a missile, resist arrest and recklessly causing injury.