The WRDB layer is dynamically created each time you change a display or selection criterion and refresh the map. Thus, the default layer and shape file called "WRDB Stations" is constantly overwritten.
You may wish to permanently save a WRDB layer for later use; do this using the GIS | Save WRDB Layer As... menu item. You will be prompted to enter the name for the new layer and shape file to be created, and it will automatically be added to the WRDB layer group.
Note that, while the WRDB Stations layer is created with varying sized circles to indicate the desired display value, this cannot be done for saved layers. Instead, a coloring scheme is created such that the color of the constant-sized symbol is used to indicate the value.