First of all, you should understand that there are two types of weather radios. First one is the stand-alone receivers and the second one is general multi-band receivers that also deliver regular broadcast.
Select any of these two types of weather radio and place it near to the window of your room. Make sure you have put it at such place which is near to National Weather Service transmitter. You will get better signals if you are living on the first floor of the house.
Make sure you have set up you radio to the VHF frequencies which are broadcasted by the National Weather Radios (NWR). These frequencies are 162.400; 162.500; 162.450; 162.525; 162.475; 162.425; 162.550.
If you are living in an area that is surrounded by hills, then you have to use an antenna. Antenna will help in receiving the signals in a better way and there will not be distortions.
If you are living in a big city, the nearby tall buildings can also disturb the reception. However, using an antenna helps in resolving the reception issues immediately.
Weather radio also has program that is also known as Specific Alert Message Encoding which help you in having weather alerts of your specific county or town and you will not receive the alerts of other counties or cities.
Make sure you have learned the 1050 Hz tone alarm which activates the weather radio receivers and it usually awakes you if any weather alert comes at night.
If you face a power outage due to any reason, you should have a battery as a backup to keep the receiver of weather radio operating.