The most straightforward explanation is that people who have a hard time gaining weight (what we refer to as ectomorphs) simply have fewer muscle and fat cells to absorb the extra bulk than more athletic types. Fortunately, tests have shown that weight training can add new muscle cells, a process called hyperplasia. This is a lot more work than simply strengthening existing muscle cells, admittedly, but you can take some comfort in the fact that the new muscle cells stay with you all your life, even if you knock off weight training later on.
Arnold has some tips for you. :-)
Cheers,
Scott.