Underweight affects immune system:

Have more of vegetable oils, dressings that consist of fats and high caloric desserts.
Vitamins and Minerals: You need to have vitamins and minerals in good amounts so that the deficiency is avoided. Have fruits and vegetables that can provide good amounts of vitamin and mineral.
Certain guidelines that can be beneficial for underweight are:

Increase the frequency of meals. Have small, caloric dense and frequent meals so that the calories are supplied constantly to the body.
Increase the amount of food at each meal gradually. Avoid drastic changes in the diet.
Increase the caloric density rather than the bulk. This can be achieved by using add-ons like jams, sugar, butter, cream, oil and nuts.
You can also have protein concentrates and protein supplements to enhance the protein content of the diet.