One of your first stops should be Weldon Spring Site Interpretive Center. Here, you'll be able to orient yourself and get some great tips before you start exploring.
You're spoiled for sightseeing choice when visiting Weldon Spring Heights. Weldon Spring Site Interpretive Center is an ideal place to kick off here, but there are loads of other worthwhile attractions to visit. St. Louis Premium Outlets, Chandler Hill Vineyards, and August A. Busch Memorial Conservation Area are close to the tourist information center and and will cap off your day nicely.