This instructable will show you how to gain weight. This is really aimed at the fast metabolism (I eat like a horse and still can't gain weight) crowd.
I decided to revise this due to the amazing number of views this instructable has and the important points about nutrition I've learned since first publishing this.
Lots of Good Food (TM)
Weights to train with or access to a gym.
You can find good descriptions of stretching and strength training exercises in many books, "Scrawny to Brawny" is one example. I bought that book and it could have been fit into a pamphlet, but it described the exercises well.
You could look up information on your basal metabolic rate and caloric intake and lots of nifty formulas, but it's not really necessary to follow this as a process. In fact, I encourage you to look up all the assertions I'll be making to educate yourself and better understand why these techniques will work for skinny people. Don't take my word for it.
Now I'm going to boil down the weight gaining process for you. It's up to you to gradually work it into your life. It's work, but you can do it.