How to create this composite

Is there any sites or places to learn how to do this

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three keywords for you to search

photoshop layers masks

This is fairly simple to do as long as you are adept at using layers and masking as noted above. The original author may have gotten the glow around the images by using a layer style which is something you should read up on as well.

Here is a decent tutorial on layer masking. I picked this up from google and my search criteria was photoshop layer mask tutorial and it returned way more decent looking resources than one would ever need.

Good link. I added it to these: Layer masks & more - See post #9; PS Elements in Post # 14
A question about sky

i am assuming that's not your picture in which case posting it here is a bad move. better to link to to it.