The only way to gain weight properly is by increasing your calorie intake while still watching what you eat. Vitamins won't make you gain weight but they will help support muscle and bone health, which is beneficial to healthfully gain weight.
A multivitamin will give you the nutrients you need. Protein and mineral supplements are also good choices. Basically any type of vitamin that will give you all of your daily needs will help you to gain weight. But the truth is if you take a multiviatamin plus eat very healthy you should be at a normal and healthy weight.
There are no vitamins that do this, but you can gain weight in a healthy way by drinking protein shakes, or eating higher amounts of foods that provide healthy unsaturated fats, such as salmon or almonds.