I am in the same boat as you, so you are not alone

For years I'm trying to gain weight and people don't believe me

First of all I will tell you what does not work for me:
- eating junk food - I simply catch a cold and lose appetite so any potential gain is lost
- less activity - I also have a little child so it's impossible for me to sit and do nothing
- living life full of stress - it makes me eat less.
Now what does work at least in some extent:
- muscle building workout. It has to be with more than 3 pounds weights, it has to be at least 5 pound in each hand and of course gradually more. Find some cool video with the trainer you like and do it 2-3 times a week making 2 days breaks. Short series, 8-9 repetitions, the idea is here to go to your limits. You need to expect pain afterwards but it should go away after first week or two, think about it as if it's pain of your muscles building (it actually is

)
- protein supplements - I know it sounds ridiculous because you don't want to be a real body builder but this is just my piece of advice - buy good quality whey and make yourself delicious shake everyday within 30 min after you workout
- if you don't have heavier weights try push-ups. It's an excellent exercise for any woman not only for her arms, but also for chests muscles so important for our looks

At first if you are not fit you will work mostly with arms, but it's OK, it's what you want.