Setting the weight of your goals represents the priority of the goal. When you set a new goal a pop-up window will appear. In the window there will be a weight chart on the right numbered 1-5 with 1 being the lowest priority and 5 being the highest. Select the number you wish and click Set Goal to finalize the weight.
If you wish to alter the weight of an existing goal, go to the goals page and click on the Pencil icon: 
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The "Set A Goal" pop-up window will display. You will be able to change the weight of the goal. Click Save once done to apply the changes.
