I'm also in the same boat as you, I struggle to gain weight and despite eating a ton of food I have a naturally high metabolism that prevents any real gains. I used to have two protein shakes a day (5,200 calories combined) in addition to my normal eating habits and was only able to put on 10 pounds after a couple months... then I somehow became lactose intolerant almost overnight and had to give up the protein shakes. :(
You could give protein shakes a try but if you have a sensitive stomach than it might not be a pleasant experience. There are "weight gainers" out there with tons of protein and tons of calories, might be worth exploring some of those and see what works best for you. http://www.bodybuilding.com/store/gainers.htm
^-- A good starting point. Your local stores might have cheaper products.
I would talk to your family Doctor first. You're very underweight, there could be something else going on...