Well, Muscle Milk is very tasty, but yes overpriced too. You'd probably be rather successful with adding a shake (a scoop of protein and a cup of milk) to each meal.
But you say you eat a lot and all the time. But how frequently is that? Do you eat 1,2,3,4 large meals each day?
One of the common rules for losing weight is to eat more often, typically six meals a day. Almost the exact same rule applies for gaining weight. The only difference is in portion sizes.
Trying to bump up the number of meals each day, and adding in some healthy calorie dense foods like cottage cheese and natural peanut butter (mmm tasty) can probably do the trick.
But remember, you are only 20 and still have a metabolism burning like a furnace. Maybe you're genetics are kind enough to keep it up for the rest of your life, but for most people their metabolism slows down considerably between 20-24. Thats why so many people get fat at or after college. So keep an eye open for that too.
And distant - you're friend sounds like a nut. I cannot even imagine trying to eat 15,000 calories a day of relatively clean foods.