I have been going through the weight/muscle gaining problem for years. I started at 6'4" 155lbs about 6 years ago. I'm now up to about 185lbs. This is not fantastic results for 6 years, but most of it has been in the last 2 years when I started to have some idea of what I'm doing. And honestly, I'm still a wuss, but I've made significant noticeable progress.
The hard part is doing this without becoming a fatass. If you've ever seen the Beefcake 5000 episode of Southpark, that's pretty much what will happen if all you do is eat.
Now, you will gain some fat in the process. It's just really hard to build muscle without also gaining some fat. Most sources of protein are going to have fat in them also. And you do need to eat protein.
The thing most people don't realize when they start on programs like this is that
it takes a lot more time to build a pound of lean muscle than it does to lose a pound of fat.
It's not that hard to lose fat from changing your diet and doing some cardio. It can drop off at a rate of a pound or more a week. Whereas building muscle will take at least a month or more to build a pound. I'm talking about actual muscle, you can gain more weight than that in a month, but it won't be all muscle.
Since you're skinny like me, you want to build muscle mass. To do this do your weight training in
lower reps of higher weight. Start with 10 reps, then 8 reps, then 6, then 4. To do it right, you will need someone to help you. Put on slightly more weight than you can lift full sets on your own, for the last 2 sets. Then have a friend help you slightly to get the maximum stress on your muscles. You should be pushing with everything you've got on the last 2 sets. Just remember to breathe correctly as you do it, breathe out slowly as your muscles are being stressed.
Do group muscle exercises first in your workouts. For example, do press type exercises (incline/decline/straight chest press, or leg press on your leg days, or overhead shoulder press on shoulder/arm days, or lat pulldowns/assisted pullups on back days). Then move on to exercises that focus on a specific muscle. Keep going until your arms or legs feel like they're made of rubber.
Like the other messages have said,
you need more protein. Before your workout (by about an hour), have a whey protein bar or drink, then more importantly have another immediately after your workout. Drink a big glass of skim milk before going to bed. Eat tuna at least twice a week. Have an egg for breakfast 2 or 3 times a week. Have some more skim milk during your day, 2 glasses should be good. The milk gives you casein type protein which is absorbed slower throughout the day. It will give your muscles a constant slow stream of protein to help rebuild. Use the whey protein around the time you're going to be working out though, since it's absorbed faster. People say that the casein protein will slow down the absorption of the whey, so you should drink your milk away from the time you'll be working out.
The other important thing is
rest. Not that you have to take days off from your workout entirely very often. You need to rest muscle groups that you've worked for 3 days. For example, if you work your chest on Monday, you can work your legs on Tuesday, and back on Wednesday, before you should even think about doing anything with your chest again. There is some overlap in muscles used on some of these, but just don't do 2 days in a row on the same muscle group.
You have to keep up with a cardio workout to prevent becoming a fatass from taking in these extra calories. I've been doing a stair machine recently. One of the escalator type stair machines. That one is good because it's similar to doing a leg press on each step. You can do that at the end of your leg workout and your legs will be completely smoked by the time you're done.
Another thing. I find it motivating to sometimes workout at a gym with tons of hot chicks. It helps remind you why you're there and it's great scenery. If they see that you're serious about working out and not just there to stare at hot chicks, then you might even meet a few.
EDIT: Don't drink any softdrinks either, even diet. The phosphoric acid bonds with calcium, bad for muscle growth.