The spatial weights sets in your project are held in a special window—the spatial weights and cluster sets view, shown below. Its default location is docked below the data view on the left edge of the application window.

Add a point or polygon spatial weights set by right clicking a geography.
Show a weights set in a map by right clicking it. This creates a new map and turns on the view object neighbors for that weights set.
Edit an existing point or polygon weights set by double clicking its name, or by choosing "Edit" from the right-click menu.
Rename or Remove a weights set.