A steroid isn't the cure for you. You say you've tried to gain weight using protein and weight gainers, but what about your diet? You just need to eat tons of food and train hard and heavy using basic compound movements. My guess is that you go to the gym and use machines and spend an obscene amount of time working bi's? You need to start squatting and deadlifting heavy. Flat bench press, military presses, bent-over barbell rows, weighted pull-ups, and things like that. Get back to the basics and eat.
I know it's not what you wanted to hear but it's the truth. I'm naturally a 165-170lbs kinda guy and I have to constantly eat to keep my weight around 200lbs. I seriously take in between 4000-5000 cals per day.