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You know connect 4 is solved right? First player always wins if playing perfectly.
Check out Viktor Allis' thesis in which he explains everything: https://www.dropbox.com/s/pjhf6bbn7wv4nx8/Velena.pdf?dl=0 It might also give you ideas for your evaluation function.
Btw, I wrote an Android game a while back that implements his AI if you want to play with it: https://play.google.com/store/apps/details?id=org.pjf.fourinarow
A fun way to set your weights would be with genetic algorithms competing against each other, a form of unsupervised learning.