Don't use Natural Weather as is, it's quite buggy. Either use one of the fixed versions that's around or go with some other weather mod.
http://sites.google.com/site/oblivionpoinfo/stabilization/outdatedmods <-- link to the fixed version here, but I highly recommend Enhanced Weather (EW), Atmospheric Weather System (AWS) or All Natural (AN)
Enhanced Weather is the smallest (in terms of resource "eating") of the popular weather mods. It is quite advanced too (has darker nights and timescale syncing with OBSE support.)