The application is known to have issues on Windows with the weather not displaying or updating properly or with the Internet connection. Since it depends on Internet Explorer, I recommend you reset the settings to default. To do this, start Internet Explorer, then press ALT +T > Internet Options > Advanced. Click Reset then use both buttons to reset the browser. Restart the application as well and then try connecting. If I am right the software will connect to the internet and get the data correctly.
Additionally, I recommend downloading the latest versions of the applications from the official website: http://www.weather.com/apps