how to set a weight for individual classes

Dear Sir ,

I am using KDD'99 data-set, i want to set an individual weight of my Five classes, AS classification done properly , majority of classes are normal , probe & DOS, so the classifier find easily them , but due to the less samples of U2R and R2L classifier not detect properly. help me how i can increase the weights of two classes (U2R & R2L). as i can get classification properly.

Regards