Go to System → Settings → Store Details
The default weight class your store display weights. This setting affects the default weight class when you create new products, the weight class shown on the basket page if Display Weight on Cart Page enabled in your store and the class of the Min/Max Weight of Parcel settings in your delivery methods.
Do not confuse with the base weight class used in calculations. See System → Localization → Weight Classes. Also some shipping methods have own Weight class's related setting which affects shipping weight calculations.