Welcome to the forum for MLwiN users. Feel free to post your question about MLwiN software here. The Centre for Multilevel Modelling take no responsibility for the accuracy of these posts, we are unable to monitor them closely. Do go ahead and post your question and thank you in advance if you find the time to post any answers!
Multiple membership with sampling weights is not possible with MCMC in MLwiN. You can set up multiple membership models with (R)IGLS using special commands (see chapter 19 in the MLwiN manual: http://www.bristol.ac.uk/cmm/software/mlwin/download/mlwin-userman-09.pdf). If you set it up this way then it should be possible to apply weights via the the weights menu/commands.