Let's start with a smaller model of this: Say there's a pot on a kitchen stove and it's being heated. And there is water in the pot. As the pot heats up, the metal of the pot (which is highly conductive to heat and electricity) heats up and quickly sends heat to the water, soon boiling the water. In the atmosphere, heat is constantly going to cooler places so the fact that there is a change in temperature during the day and during the night causes most of our weather.
Hope this helps!