You've changed your own oil plenty of times, right? Pop Quiz: What does the "W" stand for?
It's not weight, or weather, or any other logical "w" words you might've thought of. It's "winter," as in the cold-cranking viscosity of the oil.
To break it down: The winter viscosity grade is an indicator of the oil's ability to flow at low temperatures. The lower the winter viscosity of the oil (0, 5, 10, etc.), the thinner the oil will be, leading to a smoother flow in colder temperatures.
Keep in mind that most manufacturers of modern engines recommend the use of a multi-grade viscosity oil (0W-20, 5W-20, 5W-30, etc.) from the manufacturer. Multi-grade viscosity motor oils contain viscosity improvers, which allow changes in viscosity (i.e. the oil will get thicker or thinner) as the engine temperature changes. This provides better protection for the engine at varying temperatures year round.
And, as always, check your owner's manual to see what grade of oil your manufacturer recommends.
Oh, and feel free to quiz your friends to see if they really know what that "W" stands for.