To run WEKA, you should open a command prompt window (on Windows) or a terminal window (on mac or unix) and go to the "weka-3-4" folder. Then issue the command
java -jar weka.jarSometimes, WEKA may run out of memory. If this happens, you can rerun it and tell java to allocate more memory. I use the following command:
java -Xmx200m -jar weka.jar