Seriously, if you're on the thin side, be glad for it. Later in life, your metabolism will slow down a bit and suddenly you'll fill out. With that said, a mistake I'd made in the past is one where I thought the more I worked out, the better the situation. What is equally (if not more) important to the amount of weights you do is a) your diet and B) your rest.
My suggestion then is:
Weights every 3 days. Go heavy (max 10 reps per exercise, working down to, say, 6 reps), be sure to do LEGS.
Get plenty of rest
Eat well. Complex carbs WITH Protein.
Read up on the topic of weight gain from a reputable source.
Experiment and do what works for you.
Best of luck to you.