There's pretty much 2 end game scenarios for a naturally skinny person who wants to weight train and exercise in order to build muscle. I'm going to use somewhat exaggerated examples of both of these to convey my point:
Type 1: Heavy weights, protein, intent to build muscle mass
http://c4.ac-images.myspacecdn.com/i...da78fbda87.jpg
Type 2: High rep, smaller increases in weight, intent to tone and strengthen existing muscle with smaller amounts of muscle gain
http://www.siamfoundation.org/wellwo...Tony-Jaa-1.jpg
Both are fit, toned, and muscular. The difference is in the type of training. Both can make you stronger, healthier, and happier with your appearance.
Each person is going to want something different out of weight training. I, for one, don't like bulking up. I much prefer to strengthen and tone.