This is a big misconception that if someone is underweight, it's because he's not eating. Some people just have shitty genetics, and no amount of food would help.
I'm speaking from my own experience

. My father is very skinny.
My stats:
30 years old
5'9
130-135lbs
I have been in the 130-140 range since high school. My body fat is around 5-10%, which is a plus, but I can never put on muscle mass.
I eat 3-4 times a day, drink 1 whey protein shake with weight gainer (which has roughly 300+ calories) with a blend of 6 egg whites + 1 yolk in the morning. I take the same shake before bed.
Vitamins: 1 multi vitamin (100% RDA); 2 zinc and 2 magnesium tablets (over 100% RDA).
Creatine: 5 g before my workout, and 5 g after my workout.
Glutamine: 1 teaspoon before and after my workout.
My workout:
M/W/F Chest, Back, Calves, Abs 1-1.5 hours
T/Th/Sat Arms, Shoulders, Legs, Abs 1-1.5 hours