We develop an alternative formulation of conservative finite difference weighted essentially non-oscillatory (WENO) schemes
to solve conservation laws. In this formulation, the WENO interpolation of the solution and its derivatives are used to directly construct the numerical flux, instead of the usual practice of reconstructing the flux functions. Even though this formulation is more expensive than the standard formulation, it does have several advantages. The first advantage is that arbitrary monotone fluxes can be used in this framework, while the traditional practice of reconstructing flux functions can be applied only to smooth flux splitting. The second advantage, which is fully explored in this paper, is that a narrower effective stencil is used compared with previous high order finite difference WENO schemes based on the reconstruction of flux functions, with a Lax-Wendroff time discretization. We will describe the scheme formulation and present numerical tests for one- and two-dimensional scalar and system conservation laws demonstrating the designed high order accuracy and non-oscillatory performance of the schemes constructed in this paper.