hi i used one tab before bedd every night called periactin its an antihistamine u can get it from ur gp, i was very unhappy for years weighting in at 6 stone bmi at 14.5 started taking periactin then WOW 3 and a half stone i put on within 6 months. i used to eat loads before i started takin them but didnt seem to put weight on untill i started taking these good luck :)
The milkshake idea is good. I think in general, increasing the amount of fat and protein in your diet (preferably unsaturated fat and lean protein), portion size, and carbohydrates, you will easily put on weight/bulk up. Unless you have some kind of underlying thyroid issue, I don't see why milkshakes and a larger diet wouldn't help you out. I doubt you are suffering from malnutrition, but if you are, remember it's important to see a doctor/nutritionist to see what your nutritional deficits are. Good Luck!
Also, try doing strength training exercise to build muscle; this will make you gain weight and look bigger. (rather, you will gain weight so long as you are eating enough calories to be expended)
Make milk shakes at night after dinner. My mom put weight on by doing this.