I'm trying to figure out how to use the weather in it and I will select things and create stuff, then hit fly (I have overcast selected) and there is no rain, or overcast, just white puffies.

Start FSX-SE first and then click the Fly Now button. I set up my flight first and load it, then go into windowed mode and run REX-WA.

 

I don't think it should work like this, you don't have to with P3D, it starts the sim and injects the weather first time, with no faffing.

 

You will also notice it causes Steam to give you a 'This aplication is already running' warning when you click 'Fly Now' but it will work, and you will get the weather you define.

Read  the manual its  all in there  on how  and  when to start you  sim   if  you  got fsx-se  than you need  to start it  first