I've had that problem as well, but I don't think you should focus on gaining weight. Eating the right things will help you gain weight in the right places, and combining it with exercise makes the process a lot easier and enjoyable.
You are going to have to balance carbohydrates (this gives you energy, but the excess is stored as fat), and protein (the building blocks of muscle) in order to get the right results. I strongly suggest talking to a dietitian if this continues to bother you.
ALSO - your age, ethnicity, and country of residence can play a huge role on how you see yourself.
I am half-Danish and half-Filipino, and I used to live in the Philippines. My aunt, who lived with us, always told me to eat more, and although I've never skipped a meal, I couldn't get myself to gain any weight (wasn't a big fan of Filipino food, so I didn't eat much either). I was tall and skinny among the shorter, generally lanky and big boned locals. I was 20 years old before I moved back to Denmark - but when I did I felt a lot less insecure of myself, simply because my height was average (this removed the illusion of more skinny-ness), and I matched the general body type of the average Copenhagener. I even started to gain weight after coming to Denmark, simply because I liked the food a lot more. Danes in general have a balanced diet (I'm not referring to the traditional danish food as THAT is insanely fatty), good metabolism, and a somewhat active lifestyle.
I'd just say, focus on developing a good diet and exercise regimen while you still can - coz' not many people have a good start to fitness such as you. DRINK LOTS OF MILK and maybe invest in some protein shakes or chocolate milk after your workouts. It will take some years before your metabolism slows down, and when it does you are going to inevitably become concerned over the opposite matter. :P
I think you're on track. Don't forget that a cheat day could help you a little bit, but don't always rely on it.