Being thin is good but being very thin and underweight is not good. You should consult a physician if you are a very very thin person. Lots of medical tests would help in revealing the root cause of the problem.
These are some points, which would help in increasing your weight:
Eating: The first important point to increase your weight is to eat well. Eat more than you burn calories. Eating food, which contains more fat is good for people who are thin. Drinking milk, cheese, chicken meat etc are some foods, which contain more fat.
Exercise: Most people think that thin people should not exercise, as they could get even thinner. But it is recommended that they exercise so that they feel hungrier and eat more. Taking nutritious
food would help the body gain weight. Do not lift heavy weight dumbbells in a gym; instead opt for low weight and do more repetitions.
There are lots of weight gain supplements available in the market, but they are not recommended. Instead have good amount of protein-enriched foods, fruits and products, which contain more fat. Eating lots of protein and fat, as it is very helpful in increasing your weight.