Victor, what type of data you have (only temperature, moisture?)
For creating a weather file, you can just open one epw file on a spreadsheet editor and figure out where in the file is each information (it is very simple, there are some 20 columns and the 8760 lines plus the header) , then overwrite the cells with your data... the thing is that you have to keep things reasonable (like if changing temperature, and not having moist info, change the moist accordingly) and also consider that your weather file is not necessarily "right", unless you have all the variables for the epw.
To create a typical year from real data you need to follow ASHRAE and DOE directions on how to do it, or at least use them as a guidance on building your own epw (for example if you only have 5 years of data and wish to use it as you source), of course if you are creating epw´s this have to be reported together with your results (as the weather file may not comply with LEED or ASHRAE, for example) and be used carefully.
Try to understand the epw file structure, as others have suggested, and the weather preprocess tools that come with E+ can help a lot.
hope this helps
Leandro Biondo
Environment Analyst / Meteorologist
Brazilian Forest Services - Environment Ministry