Alright, so let's begin with the basic: make a new document. Any size would be good. Fill it with a gradient color of the sky you want to use. For this example, I used #0b141c for the darker color, and #1c3448 for the lighter color. Fill the "background" layer with the gradient.
Note: If you've ever noticed, skies go from darker on the top to lighter on the bottom.
Next, make a new layer above the background layer (It'll be named Layer 1). On Layer 1, take a size 2-3 hard brush with an opacity of about 50-60% and start brushing small to long thin lines. It's better if you use a really light color, in this case, # c5dbec.
Note: You can also use the brush I provided.
Note: Remember that rain never falls directly down, it falls at an angle.
So:
Now, let's make it look like rain!
On Layer 1, do Filter > Blur > Motion Blur > Angle around -70 and Distance about 250. Then, duplicate Layer 1 and on "Layer 1 copy" do Filter > Blur > Gaussian Blur > between 6-15 pixles. (You can leave Layer 1 copy above Layer 1).
Make the opactiy for Layer 1 about 50% and Layer 1 Copy about 70% :
And, we're done!
Now, if you want to add a character and make it look like she's actually in the rain, keep going!