If you're lactose intolerant, please remember that we live in the world of grocery alternatives. Water is an option but it's not your only option. Goat milk, rice milk, soy milk, almond milk... Even though they're all called 'milk' most of them are safe for those with milk allergies because they're all made and processed differently than cows milk.
Also, if it is actually the whey protein that gives you trouble - switch to a different kind of protein. There are all kinds of powders and bars and such these days, you might have to try several before you find out what works for you.
Basically, T3rrorstorm is right. In order to gain weight, you've got to eat more calories than you burn. In order to gain a healthy type of weight, you've got to eat more calories than you burn while still exercising on a regular basis. This means eating on a schedule, even when you're not hungry. This is possibly much harder than trying to lose weight - and at least in part because we live in a culture that is so obsessed with weight loss. So I wish you patience.
Some things that have helped me: salad dressing. I never used to put salad dressing or sauces or anything on my meals - but now I do. It's a pretty easy way to add calories.
Don't do high-impact exercise, and this includes is basically all forms of cardio, as often. Low-impact exercises, like weight-lifting and stretching, will help keep you fit without buring as many calories.
But especially if you have food allergies, consider consulting with a certified professional nutritionalist or physical trainer. They can tell you all kinds of things that you might not be aware of - did you know that your blood type contribues to how your body digests food? - and help you form a detailed plan to reach your goals. There are foods that can help slow the metabolism but definately consult with someone qualified about that because you want to be careful. The body changes naturally as it ages, anyway - you don't want to be trying to manually shut down a system that might eventually go away on it's own.
P.S - Just remembered... If you're lactose intolerant AND trying to get stronger... Please make sure that you have a calcium supplement. No point in building muscles that your skeleton can't support, yea?