Weka is a collection of machine learning algorithms for data mining tasks. The algorithms can either be applied directly to a dataset or called from your own Java code. Weka contains tools for data pre-processing, classification, regression, clustering, association rules, and visualization. It is also well-suited for developing new machine learning schemes.

Use the class weka.classifiers.meta.CostSensitiveClassifier. Two methods can be used to introduce cost-sensitivity: re-weighting training instances according to the total cost assigned to each class; or predicting the class with minimum expected misclassification cost (rather than the most likely class).

Source: Weka FAQ