- Registered to weather.com to download the SDK (to use weather images)
 - Copied SDK images to TEMPLATE\Images\weather\
 - Added XML Web Part to WSS site and set URL to 
http://xoap.weather.com/weather/local/(zipcode)?cc=*&prod=xoap
[Update] Weather.com has changed the URL to
&unit=e&par=null&key=(license key)http://xoap.weather.com/weather/local/[zipcode]?cc=*&dayf=5
&link=xoap&prod=xoap&par=[PartnerID]&key=[LicenseKey] - Set up XSLT to display weather images
 
- "Cannot retrieve the URL specified in the XML Link property"
 - "The web part has timed out"
 
The first error happens when the WSS application pool does not use a domain account; the second error happens when a domain account is used.
After I added proxy settings in web.config, the problem was solved:
<!-- Proxy setting -->
<system.net>
<defaultproxy useDefaultCredentials="true">
<proxy usesystemdefault="false"
proxyaddress="http://proxyServer:port"
bypassonlocal="true">
</proxy>
</defaultproxy>
</system.net>