If you are using Vista or Windows 7, then you need to:

1) Run the Weapon for FSX installer (csw001_1000.exe) as an administrator (right click and select Run as administrator) to install it correctly.
2) You need to run the (Weapon) Loader as an administrator or it doesn't add it to the aircraft properly.
3) You then need to run FSX as an administrator so weapon works properly.

For numbers 1) & 2), Right click on the Loader (same for fsx.exe), select properties, select the Compatibility tab and place a tick in the box beside "Run this program as an administrator" (under Privilege Level). This is especially true if FSX is installed in C:\Program Files or C:\Program File (x86) because those operating systems are very protective of everything installed in there and doesn't like you making changes in there! This is a good thing, but it can be a real pain in the butt as well. Permanently running them as administrators, gives them the right to make the changes needed.

Mark