WMDs, also known as weapons of mass destruction, are weapons such as nukes, nuclear bombs, atom bombs etc. They are essentially weapons that can kill and bring significant harm to a large number of humans or cause great damage to structures such as buildings.
Kim Jong-il uses the phrase "weapons of mass destruction" numerous times throughout the film. He is using WMDs to cause mass destruction and chaos in countries around the world. His ultimate plan is to use the WMDs to turn every country into a third world country.