Dragonflies fly at a low altitude means it's going to rain; if they fly at a high altitude it's going to be sunny; it's going to be shadowy if they fly at a medium altitude.

This idiomatic expression serves as a weather forecast based on people's experience: The altitude at which dragonflies are flying at is an indicator of what the weather would be like in the very near future. Vietnamese people in the old days were very much reliant on agriculture, and without weather forecasting equipment they came up with excellent natural weather indicators, in this case, the dragonflies.

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Note added at 2 hrs (2009-04-08 10:34:12 GMT) Post-grading
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The levels of moisture in the air affect the dragonflies' ability to fly: When rain is imminent the level of moisture in the air is very high therefore the dragonflies are not able to go to high altitude. On the contrary, when it's going to be sunny the air contains the lowest level of moisture and the dragonflies can fly high thanks to the dry air; etc.

The meaning of the proverb is obvious: it predicts the weather based on what happens in Nature. There is no exact equivalent in English because this kind of traditional weather forecast is quite special of the Vietnamese. However, we can try to create an English version that sounds like a proverb by making it rythmic in a parallel structure.
"Expect rain as dragonflies fly low, sunshine as they fly high and clouds as they fly neither low nor high."
This translation is in the imperative form. It consists of three equal parts using the same structure; the repetition of "bay" serves as emphasis on the natural phenomena. The verb "expect" indicates that this is weather forecast.