The concept of integro-differential algebra has been introduced recently in the study of boundary problems of differential equations. We generalize this concept to that of integro-differential algebra with a weight, in analogy to the differential Rota-Baxter algebra. We construct free commutative integro-differential algebras with weight generated by a base differential algebra. This in particular gives an explicit construction of the integro-differential algebra on one generator. Properties of these free objects are studied.