Is the phone connected to the web, either via wi-fi or mobile data? If it is, and it's still not working, then try removing the widget from the screen, and then adding it back again. Long-press the empty widget until you get the option to drag it to the Remove area (or garbage can icon). Now go through the process of adding a widget back to the homescreen, and select the Weather widget again. Does it allow you to select your location this time?