Try including dry fruits, curds,cheese in your diet.It is not necessary a person has to obese
to hit the gym , it applies to people who are thin also.Enroll in a gym which has a good trainer and dietecian.you need to start doing weight training
exercises which will help increase your BMR, & apetite.Cardiovascular exercises can be avoided except for the initial warmup.Irreguler periods could be due to the hormonal
imbalance caused by being underweight
.Hope this helps.