I had trouble gaining weight for the first four months. Everyone kept assuring me it would happen. It did, but not until after I was nearly six months along.
Ask your doctor for tips on how to gain the weight. Instead of just telling you to do it, he should also tell you HOW. Trust me, you're going to be paying through the nose for his/her services down the line, so you should be able to get answers when you need them. Get your money's worth!
ETA: Drink root beer. Lots of calories, no caffeine (avoid Barq's, since that one has caffeine).
But, really? My doctor told me that early in the pregnancy, women aren't really expected to gain weight, because they don't especially need to yet. It may seem like 40 lbs. is a lot to gain, and that you've gotta start NOW, but you don't. The weight will start coming on later in the second trimester, but it'll really go up in the third. Eat lots of breads, and avocados were a staple in my pregger diet, so you might like to try those.