There are many different kinds of weather - wind, rain, snow, fog, sunshine, calm. But they are all simply caused by the lowest layer of the atmosphere, called the troposphere, moving as it is heated by the warmth of the Sun. Forecasting the weather is such a complicated process that it demands the world's most powerful computers.
All wind is simply air moving.
They all begin with a difference in air pressure. Air pressure is the pushing force air molecules exert all the time, although you can barely feel it. It varies with the density of the air. The Sun warms some places more than others. Warmth makes the air expand, so it is light here, making pressure low.