I suggest that you spend time with Help > Tutorials and the Help > JMP Documentation Library > Discovering JMP guide.
JMP uses the paradigm of 'analysis roles.' For example, the Y role is the dependent variable and X is the independent variable. The Weight role is used when a variable in your data table contains weights. So for every observation (row), you have a value for the dependent variable, the independent variable, and the weight.
There are many weighting schemes. For example, if the assumption of constant variance by linear regression is violated, then the reciprocal variance is a useful weight. Observations that exhibit greater variation are weighted less than observations with less variation.