For general tips on nutrition and gaining weight, see e.g. What can I do to start gaining weight? or I am underweight. How do I gain weight and muscle? or have a look at a sample workout/nutrition plan.
There is some evidence that Whey protein may be more potent than others(you can google for a paper entitled "Ingestion of whey hydrolysate, casein, or soy protein isolate: effects on mixed muscle protein synthesis at rest and following resistance exercise in young men", unfortunately i can only post a limited number of links)
Your BMI (18.3) suggests you are slightly underweight and should indeed eat more.
Nutrition supplements like Whey and other protein shakes (By the way, Nutritional supplements specifically designed for gaining weigth are called weight gainers) can help you gain weight, but they alone will not suffice.
My suggestion: Read up on the links above, but take it from me as someone who for years has had a BMI of 17.3: If you are not already doing so, you need to start working out and do some kind of physical activity. Monitor your weight and fat gain closely, make sure you gain (mostly) in muscle, not in fat.
TL;DR: Start eating (more and healthy!) and lifting ;-)