In this paper, we consider inclusion relations of $CW_{\omega _{1},\omega
 _{2},\omega _{3},\omega _{4}}^{p,q,r,s,\tau }\left( 
 %TCIMACRO{\U{211d} }%
 %BeginExpansion
 \mathbb{R}
 %EndExpansion
 \right) $ spaces functions whose Wigner transforms are in weighted
 Lebesgue spaces. We then discuss compact embeddings theorems between these
 function