Rain, snow, and Etherwind will hinder you as you travel in Elona. Light rain does nothing more than apply the 'Wet' status, while hard rain can cause blindness and confusion as you walk on the world map. When it snows, your world map movement speed is three times slower--be careful when you travel during this weather, as time will progress faster. Wearing an aurora ring will prevent you from becoming confused (but not blinded) during heavy rain and will negate the speed penalty when it snows.
During an Ether Windstorm, several things happen. The types of monsters mutate due to the effects of the magical ether, and will be far more powerful than they were before. You incur symptoms of ether disease. Ordinarily, your character's ether disease will worsen slowly and sporadically in any weather, but exposing yourself to the Etherwind increases the rate of ether corruption by a large amount. On the plus side, your movement rate will actually increase as your character flees the dangerous magical storm.
You can be (partially) protected against the effects of the Etherwind by being an Elea or by wearing any equipment that has the attribute "It protects you from etherwind". Vindale cloaks always have this attribute.
To avoid the disease-hastening effects of the Etherwind entirely, you need to leave the outdoors and find proper indoor shelter. You can speak to an innkeeper to take you to a shelter (or enter your own, if you possess one). While in the shelter, time will pass at a very high rate relative to turns taken. There is ample food in every shelter and your character will eat it automatically when hungry. Also, you will not get sleepy, and any existing sleepy status will be cleared when you enter.
You can also find protection in your home or a dungeon, but time will pass at the normal rate so it may be a while before the storm passes. You can actually use this to your advantage, since you can eat food (which boosts your attribute growth), sleep (potentially getting good things out of dreams) and, in the case of dungeons, read books or use training machines many more times than would be possible with the accelerated passage of time in a shelter. Reading books or training in your home or an indoors building you own will cause time to pass at an accelerated rate while you read and then return to normal afterward. Note that you may also take advantage of books and training repeatedly during bad weather on outdoor maps as well, though this is not recommended during the Etherwind!
If you are caught out in the wilderness during an Ether Windstorm without any protective items, you can enter the wilderness (press or ) and read a scroll of Return or cast the corresponding spell; you will only spend 10-20 turns out in the Etherwind before returning to your chosen destination. Lacking that option, you may set up or enter any shelter you carry, though this takes longer than using Return; you may also run for the nearest town or simply hunt around the wilderness for a tight rope, return to the world map, and hang yourself. Your dropped items will be left on the world map tile where you died. Be warned that the map can still reset and remove your items.