I eat about 3000+ calories a day and I don't put on any weight and I do not exersise.
It's important to realize that it's not just about how many calories you take in. I used to weigh about 120, and could never gain any weight. However, after a focused diet I was able to increase to about 130. My goal was 140-150, but then school hit me. Now that I'm graduating I'm going to give it another go.
For instance I was just eating a bowl of cereal for breakfast. I quickly realized that this just didn't give me everything my body needed. I focused on adding 3 things to my diet. Complex carbohydrates, protein, and healthy fats.
Cereal is mostly just carbohydrates, but the problem is the body can break them down so easily it doesn't help you as much. So I tried to move away from the more processed stuff. I'd have a fruit at almost every meal. Usually an apple or a banana since I'm not big on most other fruits. Wheat bread also helps a ton. For dinner I'd almost always have an extra helping of rice or pasta. Yogurt and hard granola bars were great for snacks.
As already mentioned the powder you get at the store can really help. One thing that really helped me was trying to eat 5-6 times a day instead of just 2-3. Having a shake you can mix up in less than a minute at work really helps. I would just keep a thing of milk in the work freezer and got a nice bottle to shake it up in. You need a certain amount of protein, but it's easy to go overboard. My goal was 1g of protein for every pound I wanted to weigh. Two protein shakes a day and a piece of meat for dinner was just about right.
The hardest part for me was getting healthy fat. We're talking about the kinds of fats and oil that are liquid at room temperature. You just have to find ways to stick it in here and there. When I cook eggs in the morning I always use some olive oil. However, my favorite in this category was avocados. You can do all sorts of great stuff with them. I particularly like avocado sandwiches, but they're not very good sitting in your lunch sack all day. Plus you don't want to go overboard. One or two avocados a week is plenty. Hence this is what I'd usually eat for lunch on Sat/Sun.
Beyond that it's all about just adding that extra little thing to everything you eat. For instance if you're going to eat some yogurt then why not put some wheat germ in it as well. Cook with olive oil, or add diced avocado to your salad. The little things here and there add up.
Finally I'd like to add that this wasn't just something you do casually. It took a real effort to be able to pull off my diet. I had to spend more time preparing, and plan every meal. Otherwise I would end up spending more cash at the grocery store than I could afford.