Indeed, if you set Active Sky (which has to start automatically when you start your sim) to live weather mode, it will automatically set the weather to current live weather of the place you are flying.
You don't even need to select anything in your sim. Active Sky will automatically take over. It will look at where you are on the globe, will download the corresponding real weather, and will apply it in the sim within a few seconds.
The other interesting mode is the historical weather.
It works exactly like the "live" mode, excepted that it will also consider the date you chose for your flight.
It will then download the live weather of the place AND the date you chose.
This is practical if, for example, you'd like to make some flight with winter weather, although we're currently in summer.
For example, if you create a new flight located in Anchorage somewhere around the 1st of January 2018, Active Sky will recognize this and will download the real weather conditions of Anchorage on the 1st of January 2018.... which means you'll most likely get some cold temps and snow