The file `gnubg.weights' contains the trained neural net weights for most of @gnubg{}'s position evaluators. Like `gnubg.bd', it should be kept in either the current directory or the installed directory.
You should be able to obtain a copy from wherever you found the @gnubg{} distribution. Future releases of @gnubg{} will allow you to start without any existing weights at all, if you want to train your own.