Some info from the site of an excellent software I used to use (link):

Weighted Moving Average (WMA) - Weighted MAs share characteristics of both Simple and Exponential Averages.  Like Simple MAs, WMA has a fixed window equal to the period specified.  In other words, if the period is 10, then only the previous 10 bars will be considered (non-cumulative).  Like Exponential MAs, WMA places more emphasis, or heavier weighting, on more recent prices.  As can be seen in the formula at the top of this page, the most recent price gets a weighting factor equal to the period.  The weighting factor then decreases by 1 for each of the subsequent bars all the way back to a factor of 1 for n - 1 bars back (n being the period).

For comparison, consider a 10 period moving average.  For an SMA, the weighting of the current bar would be 10% (1 / 10).  For an EMA, the weighting of the current bar would be approximately 18.18% (2 / [10 + 1]).  For a WMA, the weighting of the current bar would be approximately 18.2% (10 / [(10 * 11) / 2]).

Volume Weighted Moving Average (VWMA) - The Volume Weighted Moving Average weights the price of each bar with the volume of that bar. In this way, bars with higher volume will be more heavily weighted in the computation of the average. For example, a 5-period VWMA first sum the product of the volume and the price for each of the last 5 bars. This product is then divided by the sum of the volumes to give the resulting average. Many indicators in Investor/RT allow the user to specify the smoothing type. The “Volume Weighted” option can now be found at the bottom of the list of smoothing types. The VWMA can also be accessed in the scan language by simply using the token “MA” and choosing for the smoothing type of the MA to be “Volume Weighted”.