I don't (like staying/like to stay) home (on/in) such a rainy afternoon. The below sentences will work:
"I don't like staying home on such a rainy afternoon."
"I don't like to stay home on such a rainy afternoon."
Neither sentence uses "in."
You can use either the infinitive form (to stay) or continuous (staying). "Staying" sounds a bit more active, but they both mean the same thing and either is fine. :-)