The best way for people to gain weight in a healthy way is through muscle building. You may have a limit as to how much muscle mass you will be able to put on, but any muscle you do gain will be very helpful in supporting your smaller structure. For your particular exercise goals, you should be focusing on weight training vs. cardiovascular exercise. If you are not already experienced with using weights, I highly advise you to start by working with a personal trainer or following some type of guide to make sure you are using the weights correctly to avoid injury. Shoulder, back and knee injuries can be very common with weight training if not done properly.
Using a high quality whey protein powder is the best way to support the muscle building process. You also must remember that building muscle takes time and a lot of hard work and commitment. Be patient, start slow and the results will come.