yes, you will need to download & install HTC Home customizer to set a custom city. the customizer is a great program, not just for the weather but to change everything about HTC Home. definitely grab it!
After you add the custom city, if you get error while trying to retrieve the weather, you may need to run this patch....
ftp://up.ppcgeeks.com/Vogue/Users/OM...HTCHomeDLL.CAB
but it still may not work, because you're using the stock HTC Home plugin. you may need to upgrade your HTC Home to......
ftp://up.ppcgeeks.com/Vogue/Users/OM...5.722..cab.zip
these are cabs, which need to be run from the phone. either copy to phone or download straight to phone, either way....