HI ,
Just wondering how up to date Real World Weather is in FS2002

Does not seem very current to me .
Just to expand a bit on microlight's reply.
Yes, you have to be online in order to update Real World Weather.
I do a "take off" update and several updates along the way just to keep things current. When updating choose the "Local Weather" option.
After choosing it you will notice that the note below the map will read "Nearest reporting station:..." followed by the name of the airport where you are currently located or the name of the nearest weather reporting airport to your current position along your flight path.
Then click "Real World Weather" and the current weather data from the nearest reporting station will be downloaded and then installed into FS2002. It works great. You can choose to include winds aloft data in your download for even more realistic weather conditions.
I always do several updates along the way. Actually, I am not sure if this is necessary- since the weather does change along the flight route even without doing manual update.
Perhaps someone with more knowledge of the details can say whether manual updates are necessary or if the data updates itself as long as you are connected and have the Local Weather/Real World Weather options selected.
Hehe, now I may be totally misreading your original post and you may simply be asking why it is that when you update your local real world weather at your actual current location in the real world, that the virtual weather on your computer never looks like the actual weather outside at the moment.
I have never run this experiment myself nor can I say that I have ever noticed any difference. I will try it some time.
Cheers,
Chris