Shelter in the street from the weather (5)
I believe the answer is:
sleet
'the weather' is the definition.
(sleet is a kind of weather)
'shelter in the street' is the wordplay.
'shelter' becomes 'lee' (I've seen this before).
'in the' indicates putting letters inside.
'street' becomes 'st'.
'lee' put within 'st' is 'SLEET'.
'from' is the link.
(Other definitions for sleet that I've seen before include "Partially frozen rain" , "Precipitate evolution" , "Freezing rain" , "In foul weather" , "Snowy rain" .)