Weather is caused by uneven heating on the surface of the Earth, which results in atmospheric change. Differences in temperature are caused by the Sun heating parts of the Earth more than others. Clouds, rain and winds are all caused by these temperature differences.
Wind is caused when two areas of the Earth are at different temperatures. Air currents develop to move hot air to colder regions. As the air moves, it creates wind. This is called horizontal heat transport, as the temperature difference is parallel to the Earth's surface.
Rain is caused when there is a vertical temperature difference between the surface of the Earth and part of the atmosphere. This temperature difference is often the result of wind evaporating water on the Earth's surface. Evaporated water is warmer, so when it is released higher up in the atmosphere it condenses to create clouds.
As the Earth is an enclosed system, changes to one region will affect other parts of the globe. If there is a thunder storm which is caused by warm air rising up, another region of the Earth will experience sinking air to compensate. This is called atmospheric circulation, and is the reason why weather systems are complicated and difficult to predict.