The actress, who plays Ash Kane in the soap, was in the first film Madonna directed - Filth and Wisdom - four years ago, and the pair have stayed in touch since.
"I played a ballet dancer working as a stripper and pole-dancer," Weston told OK. "It started off as a short film, but because Madonna really wanted to get into directing, the more we did on it, the more scenes she added, so eventually it became feature-length."
Asked what it was like working with the icon, she said: "It was very strange, and quite scary, because it was my first lead role. I just did exactly as I was told!
"She's very business-like - exactly how she seems - but then again she does have a funny side to her.
"She'll say things to shock you, and you'll think, 'Is she being serious?' And then you realise she's not. For example, she'll swear at you and say, 'That was rubbish, do it again!' And you think, 'Oh my God', but then you realise she's having you on a bit."
Weston added that Madonna has stayed in touch since shooting the film, saying: "I saw her quite recently - I went around to her house to see her latest film, W.E.
"That's the good thing about her, she does keep in touch and she always remembers people she's worked with.
"Whenever she has her birthday in London, I always get invited with Vicky McClure, the other actress I did the film with - so it's really nice!"