If you're extremely underweight maybe you could talk to a dietician? (If there are health problems associated with it, insurance may cover a specialist like a dietician.)
In the mean time, how many calories do you eat? Maybe you could boost it up by a hundred or so. Some good sources of fats and calories can be found in coconut, avocado, nuts, seeds, and dairy. Granola is packed full of (usually) good calories and is high fiber- so I recommend looking into a good type, low in processed foods and sugars, to start your day off with. Also make sure you're eating throughout the day- not just 3 meals, but snacks as well. These added snacks can give you more calories and fuel between meals.
There are also some medical issues that need to be ruled out. For example diabetes type I and Hyperthyroidism can both cause massive amounts of weight loss and difficulty gaining weight. I'm sure there are others that can cause similar problems. I'm not saying there is something medically wrong with you, but it does need to be ruled out. Talk to your doctor about having these tests. Also about any other digestive related symptoms- lack of appetite, diarrhea, bloating, nausea, vomiting, indigestion, etc. that are experiencing (if any). These will help the Dr rule out some of the common diseases that cause low weights.
there are many protein food on the market have u tried ensure or u can go to gnc and a powerded protein drink mix called weight gain its expense but i head u get fast results..... goodluck