Believe it or not, some people actually do want to gain weight, want to be a little heavier. Some women don't want to have a look of unhealthy woman even if they eat enough. If it's your case, first think through enough if it's really what you want. If you are healthy by being thin why not to enjoy the way you are and not to worry about it?
Otherwise, if you really know it's what you want, then start from eating healthy high calorie food and exercising.
Why do you have to exercise to gain weight? First of all, lots of exercise will make you hungry. If you don't want to eat, exercise and you will have much greater appetite than ever before.
Start eat more and exercise more
You would need to exercise a lot, for example, walking for couple hours a day or running or swimming, lifting weights is always good too. Extra muscle mass will give you some weight too. As far as food, you would need to eat more calories than you can burn.
If you are a very skinny person you could be used to eating healthy foods or not very big portions. But how can you gain weight in a healthy way? Focus on healthy foods with high calories. For example, you can eat potato salad which tastes great and has a huge amount of calories. Don't forget about meat, rice anything that gives you more calories than you used to eat before.
Many people gain weight by eating out often. Restaurants often have very high calorie meals so they would taste great, especially if you also order desert and appetizers with your meal.
More ways to gain weight
Don't get frustrated if you will gain slowly, it takes time. Learn to enjoy different meals that you haven't ate before. Hang out with heavy people and see what they eat. Sometimes eating before going to bed makes people to gain more. Ask your friends for your opinion or new recipes to try, it could help too.
Also, if you reduce your sleeping time, you could get hungrier more often. Women who have to wake up early or don't sleep enough through out the day feel hungrier than women have get plenty of sleep. So, try to sleep less and eat more.
Always know that no matter what your weight is, you are good the way you are. Remember that God made you skinny and many women would love to be you. Being thin is good too.
Talk to some heavy women and see how they feel about wanting to loose some, it could change your mind and your perception. Being healthy is the number one priority and if you want to gain extra pounds you can definitely try everything you can.