I have had to put on weight on quite a few occaisions in the past. To gain safely I am afraid you are looking to gain about 2lbs a week, probably not more than 3lbs - so its not exactly fast.
I gained weight under the supervision of a nutritionist, but if you don't have that luxury, here is what I had to do:
Every day I had to calorie count and ensure I consumed 3,000 - 3,250 calories a day, but that was based on my starting weight/bmi and on my physical health at the time etc etc. If I didn't meet that target by the evening, I would have smoothies or hot chocolate (full fat milk etc) and nuts before bed to get there. I had three full meals a day plus three snacks. The aim would normally be: breakfast - 450 cals; lunch - 750 cals; dinner - 1000 cals; each snack - 250ish cals. The meals are obviously quite substantial (so maybe toast plus cereal plus orange juice for breakfast) but the I was always told to fill the calories healthily rather than with junk. So rather than, say, chocolate, cakes, biscuits etc, add calories by adding nuts, olive oil, avocado, fruit smoothies, wholegrain carbs etc.
I don't know if you are underweight because you have been dieting/restricting etc, so I don't know if you have "issues" with calorie counting of if that would be triggering to you (if you have a eating disorder or have had one). I have had anorexia in the past, so to calorie count for me now might be triggering but, when I have had to gain in the past, I was calorie counting anyway so there were no additional "triggers".
That said, if you are pregnant, you have clearly been menstruating and, generally, as soon as the body is too underweight, menstruation stops (so, for instance, part of the definition of anorexia is that the person doesn't menstruate). I have NO idea what you weigh/how underweight you are etc, but if your body is well enough to be menstruating and get pregnant, you probably don't need to gain too much - you may for instance just be naturally slim for all I know! Whatever you do, there is no point stuffing yourself with unhealthy foods in order to gain pounds fast - slow and steady is the way!!! If in doubt, I would be honest with your MW and ask her - you may get a referral to a nutitionist if you are lucky!