Well, even though your not going to change overnight, it's better to start sooner than later.
Have a look around the internet and find some exercise's you can do with dumbbells for each body part. You might find it beneficial to join a gym though, or is that out of the question? Afew exercise's you might want to search for: Dumbbell deadlift, Dumbbell squat, Bicep curls and lateral raises. Remember to work on your entire body though, working on the biggest muscles in your body is vital to gain weight.
Best way to put some weight is to get a good diet sorted. 6 Meals a day high in protein and carbs will help you put on weight. There's plenty of information in the nutrition forum to get ideas of what food is ideal.
Have a look around, read the stickies, then ask questions on what you don't really understand.