The gas dynamics equations, coupled with a static gravitational field, admit the hydrostatic balance where the flux produced by the pressure is exactly canceled by the gravitational source term. Many astrophysical problems involve the hydrodynamical evolution in a gravitational field, therefore it is essential to correctly capture the effect of gravitational force in the simulations. Improper treatment of the gravitational force can lead to a solution which either oscillates around the equilibrium, or deviates from the equilibrium after a long time run. In this paper we design high order well-balanced finite difference WENO schemes to this system, which can preserve the hydrostatic balance state exactly and at the same time can maintain genuine high order accuracy. Numerical tests are performed to verify high order accuracy, well-balanced property, and good resolution for smooth and discontinuous solutions. The main purpose of the well-balanced schemes designed in this paper is to well resolve small perturbations of the hydrostatic balance state on coarse meshes. The more difficult issue of convergence towards such hydrostatic balance state from an arbitrary initial condition is not addressed in this paper.