We often use the term weightlessness when we talk about astronauts in orbit, or maybe the passengers in a free-fall amusement park ride. This isn't really a good word, though, because all of those people still have weight. The Earth's gravitational field is large enough to hold the Moon in orbit, and so it most definitely extends to the space station.
In normal, everyday life, our weight is balanced out by other forces, like the normal force of the floor. Our experience of "weight" is largely our experience of these normal forces: I feel heavy because the floor is pushing up on me, or my chair is pushing up on me. When you are in free fall, there is nothing to balance the force of gravity: we accelerate downward at 9.8m/s2, and because there are no forces opposing gravity, we feel "weightless". For objects in orbit, that acceleration $g$ is the centripetal acceleration that keeps the station moving with (more or less) uniform circular motion. In effect, the space station is falling towards the earth, but it has such a fast horizontal motion that it doesn't actually make progress downward: "orbiting is when you fall to the ground and miss" as the old joke goes.