You do weight training and you feel too thin? If you exercise you've got to stop doing cardio like running. Strength training increases the joints and bones. Take a lot of calcium. You've got to eat a lot of carbohydrates too, if you want to gain some weight and not feel so thin! So if you want to bulk up, lift weights and eat a gram of protein for every pound of your body, you should look into how many calories you need to eat per day to maintain your weight then add 500 extra calories to that. Good luck!
If you've lost a lot of weight, know that you aren't eating properly and are suffering physical pain you really need to see a doctor. It's dangerous to start any kind of exercise regime without consultation if you're already having medical problems. Please go and see your GP to ask for advice, or even a referral to a dietician to help you reach and maintain and healthy weight.
Drink lots of water and take joint supplements (msm/glucosamine/etc)to help keep them functioning properly.
Keep protein rich snacks around and try to get in the habit of eating a handful whenever you walk past. Something like nuts.
You do need to be mobile to help your joints. Try walking first. Short walks, then longer, make sure to take long strides and move your back and arms. I have joint and back problems and the best therapy I have found is long, long walks. I've been known to do 30 miles a day (with my kid, no less) at just a gentle walk.
If you wanna gain weight I'd say the best thing would be eating more carbohydrates. And I don't mean go eat all kind of fast food you can find, I mean a special diet with "good" carbohydrates so your body gets everything it needs and you won't get health problems from eating. Probably the best idea would be consulting a doctor or nutritionist.
I used to be very skinny too, like 20 kgs-30kgs when I was teen (when I was toddler... I kinda freak out my parents with my 10-15 kgs weight). It was caused by heart disease - I got tired easily even for gulping food and drink. I got treatment immediately so it was cured when I was 17 (but not really cured because the doctor said my heart still not as strong as normal people).
My advice is go seek specialist help. They can do better diagnose than people in art forum (: If you have pain at joints, do some little exercise (: eat healthy food . I eat everything - veggies, meat (can't eat much because it's bad to my condition >_<), fruits, milk, etc. I'm 45kg now with my 155 cms tall Good luck