Weather station indicators can be found on the Aviation Codes Central website.
Choose Help > Look Up Weather Station Indicator. Your browser will take you to the Aviation Codes Central website.
Choose a country from the Country pop-up menu, type the name of the city in the Location Name field, and click Submit.
Look for the closest airport in the "Airport Code Search Result" page. The weather station indicator is the "ICAO code" of the airport (e.g. John F. Kennedy International Airport - ICAO Code: KJFK).