If you want more information, you can just click on the icon, and you'll get a drop down menu -- the first item on the list tells you what the icon means ("Mostly Cloudy" for me right now) and the current location. Selecting that first item (OK, this was a little counterintuitive) will take you to the Yahoo page with extended forecast info.

The remaining options let you set your location (which you can do via zip code, which I thought was a nice touch), and whether you prefer Celsius or Kelvin.