For XP: Find the Weather class in the Help File (it's a part of the RPG module)
For VX: Go into the Spriteset_Weather class.
Then you'll need to modify 4 methods.
initialize
dispose
update
type=
In initialize, you create the bitmaps
In dispose you dispose the bitmap
In update you set how your wether effect behave (x,y,opacity,etc.)
type= is where you associate a bitmap to sprites
You should also take a look at Ccoa's XP Weather Effects script, there's like 10 new effects in there.
Take care!
-Dargor