Your current weather location, in the upper-right corner of the page, is a link. Click it! In the window that opens, you can either enter a new city and state or a new zip code, or you can choose from a list of locations you’ve entered in the past, either in Mail or elsewhere in Yahoo These appear as links under “Recent Locations”.
Once you set your Yahoo Mail weather location, it’ll stay the same until you change it again. And if you want, you’ll see easy ways to make any location you choose your “default” location, so that whenever you do anything else on Yahoo, like visit Maps or Local, you’ll start from there.