What I did to gain weight:
1) Squats, Deadlifts, Pull ups, Chin ups, overhead press, bench press. Preferably dips instead of bench press, but bench is good.
2) Split my work out 3 days a week (Mon, Wed, Sat is good). Day 1: squats, overhead press, chin ups. Day 2: deadlifts, bench press, pull ups. Day 3 = day 1, day 4 = day 2, etc.
3) Warm up by running a bit and then doing a specific exercise, i.e. if you're going to do bench press, do a few pushups. If you can't do like 20 push ups, then do the bench press but with the empty bar. (it should be 45lbs if it's olympic) Do like 5 or 6 of those to get your muscles ready.
4) Then it's a 5x5 scheme. Start with a fairly light weight (i.e. if your max is 200, start with like 145 or something, maybe lighter), do 5 reps, move the weight up, do 5 reps, etc, and on your 5th set do like 85% of your max weight. Rest like 3-5 minutes between sets.
5) Go on a seefood diet. You see food, you eat it. It's hard. But it works. Make sure it's good stuff, not junk food. Lots of protein, lots of calories, etc. Pasta is good, fish, meat in general, fruits, vegetables, etc.
6) Get plenty of rest. You won't grow or get stronger if you don't rest. Plenty of sleep. Also, don't over train. 3 times a week is enough for this routine. If you want to work out every day, then on the days you don't lift go do cardio, or split the work out so you don't do the same muscle group (e.g. legs) every day. But it's just easier to stick to doing it my way, since it only takes like 1.5-2 hours.
7) You can add curls or stuff like that if you want. The pull ups/chin ups should cover it, though.
If you have any more questions, I'll answer them as best I can.
EDIT: Oh, the "gain weight" products. Yeah, those are garbage. You can buy some protein powder if you want, but it's not necessary. I bought 10lbs of it last year because I was told to drink 3 shakes a day. I drank probably 3 a week and I was still gaining weight steadily. Don't buy into it. Regular food is enough. I still have over 5lbs of that stuff. I think it's going to expire soon. =/