Draw this circle with ellipse tool. Use #283C55 color to fill the shape :
Apply these layer styles in it :
Control+click on its layer name in layer palette to select it. Create a new layer and fill the selection with white color as shown.
Apply Outer Glow as shown:
Create another layer. Fill the layer as shown with #606F82 color :
Draw the cloud shape with the help of auto shapes as shown :
Apply inner shadow and stroke as shown :
Finally, add lightening below the cloud as shown. Our weather icon is ready :)
