If you live in California, HEED comes with the weather files you need. When you enter your zip code the correct weather file will be loaded.
If you live outside California, then use this procedure to get a weather file for your area and use it in HEED:
1) Download and install HEED from the HEED download site: http://www2.aud.ucla.edu/heed/download.html
2) Go the the Energy Plus website: http://www.eere.energy.gov/buildings/energyplus/cfm/weather_data.cfm
Click your way to the list of weather files for your country.
3) Download the EPW version of the weather file for your city as follows:
Right click the EPW symbol for your city.
Click the "Save Target As" choice.
In the Save As dialog that comes up, navigate to where you had the HEED program installed -- this will likely be C:\HEED if you used the default location.
Then navigate down to the "Solar5" directory, and finally to the "TMY" directory.
Click "Save" to place the weather file in the "TMY" directory.
4) Start up HEED, and when you get to this screen:
Instead of entering your zip code, click on the down arrow just to the right of the zip code. The weather file for the city you downloaded should be there -- just click it.
Note: The "Climate Zone NN Energy Efficient Design Strategies" that is provided when you start developing your design should be used with caution if you live outside of California -- They pick the CA climate zone that best matches your city weather, but the match may not be perfect. See the Solar Homes section for more design advice.