You begin with a simple slipper. You’ll obtain other weapons as you advance in the story. Use them logically!
To use a weapon, just wave the Wii Remote as if you had the weapon in your hand.
If you have a throwing weapon, you don’t have to choose it beforehand. Press or and throw it with your Wii Remote.
Sometimes you’ll need to use a specific weapon to be able to continue advancing. The game will indicate this.