There are a couple of different weather options in Microsoft Flight Simulator that you should be aware of. The main one is the Live weather option. This is available in the data options and will set your weather based on real-time information for where you are in the game. This setting can be switch on or off in the Data settings.
When it is set to off, the weather in the game will default to the local settings, without live updates. When the Live weather feature is on, it means that if you are flying across the Atlantic and a storm suddenly sets in the real world, the same thing will happen in the game.
You can, however, manually change the weather to your liking. To do this, you will need to go to the Weather tab in the menu that populates at the top of the screen. The second last option is Weather, and it will allow you to set a variety of different variables, or choose from presets from the top menu.
You can set cloud coverage at various altitudes, the time of day, day of the year, temperature and precipitation levels, and the likelihood of lighting or other weather effects. If you want to give yourself an extra challenge, you can even create wind layers at different altitudes.
This is a handy feature for people who want to take screenshots of the game, as you can really play with how the scene looks for taking some shots.