Weiss and Pyrrha have been secretly going out for a while now, but Weiss wanted to tell her older sister that she has been in a lesbian relationship. Pyrrha was okay with it, so long as she didn't mention her. With the pressure of the Vytal Tournament and new foal on the way, Weiss has found herself in a tough postion.
(Note: RWBY is a Rooster Teeth show. Parts of Weiss and Winter's conversation actually took place in volume 3 episodes 3-4. I don't not own the show or any of it's content.)