If you save a flight, FS saves a weather file as well.  The weather file will have the current status of the weather at the time you saved the filght, and will appear in the same directory as the saved flight, under the same name, but with the extension .WX.  (The flight has .flt).  Under normal circumstances then, when you load the flight it loads with the associated weather, if there is one.  Don't know about how things work with alert.