Strength training is really the best way, chin-ups push-ups, crunches, curls, extensions, squats, lunges etc. Here and here are some instructables on it.
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It depends what you mean by "build muscle" and where you want to build it. Skeletal muscle cells come in two main varieties: fast/powerful and slow/reliable. You probably want a good mix of both types of muscle fiber in all of your limbs. One way to do this is to walk every day, gradually building up weight on your hands and feet. Running is good too, but involves more strain on your joints and more potential for injury. Swimming is a very powerful and safe workout, if you have access to a pool year-round.On a side note, do eat plenty of veggies and don't waste your money on those special protein mixes or vitamin supplements. Most people in wealthy countries get more than enough protein already. If you must supplement your protein, try buying TVP (puffed soy protein found in Hispanic or health food stores) in bulk and seasoning with a bit of bouillon powder. It's much cheaper per gram of protein than even hamburger.