The icon names must map to the Yahoo! Weather codes.
See also system\modules\YahooWeather\docs\YahooWeather-Codes.pdf

Resources for weather icon sets:

- http://iconbest.com/2009/01/07/waether-iconset/
- http://www.webresourcesdepot.com/free-weather-icons-collection/

Don't forget: 
Read the term of use or the lisences agreements of the icon sets ;-).