Weight is the force of gravity. It acts in a downward direction—toward the center of the Earth.
Lift is the force that acts at a right angle to the direction of motion through the air. Lift is created by differences in air pressure.
Thrust is the force that propels a flying machine in the direction of motion. Engines produce thrust.
Drag is the force that acts opposite to the direction of motion. Drag is caused by friction and differences in air pressure.