Get NOAA weather information in the sidebar for your locale. Note that NOAA reports weather for US States, Commonwealths, & Territories only.
First, make sure you are using the latest version of the widget. If you are still getting this message, most likely you've entered an invalid code or you have just installed the widget. If you've just installed the widget, make sure you have entered in a code and that it is valid.
Second, check permissions on the downloaded XML file.
Lastly, try deactivating the widget and reactivating it.