The weather dock in Winstep works providing your location is listed. Mine isn't so the closest one to me is the Philly airport. There's almost no difference.
The built-in database of over 70,000+ cities worldwide is there only to help the user select his location (although the user's current location is normally automatically detected on first run based on GeoIP location, i.e.; based on the IP address of the user).
If your actual location is not part of the built-in database, all you need to do is go to Weather.com's site, get your location's Weather.com code from them and manually type that in (as well as the city name) into the respective fields of the Weather Settings dialog.
This said, be aware that many neighbor locations share the same weather station data despite having different codes (i.e.; multiple weather.com codes map to a single weather station in the same area).
Also, the weather module in Winstep applications uses multiple redundant feeds (NOAA, Weather.com, Yahoo and MSN), so if one fails for any reason the others take over.