To merge several shots with different lighting, you can try after selecting the files in Bridge using Tools/Photoshop/Merge to HDR and see what you come up with. If the results are "not so good" (HDR photos can often look "plastic" at least until you learn the fine points of tonemapping involved) you can try Tools/Photoshop/Photomerge in which Photoshop will open the selected images in one layered image (each on their own layer) with their own masks in place with some masking applied and you can then manually work on those layers to your heart's content. It's actually a very nice "starting point" for manually blending photos that share content. Otherwise, copying and pasting can work if the above methods don't.
Replacing the background would have to be done manually, either by selecting and replacing/pasting or by adding a "Sky" layer and using a mask to brush in the sky into the background image (or vice versa). There are threads here on doing this -- try a search on "background replace" and you should find a few with info and links, or do a google search for "photoshop background replace tutorial" (or some such) and see what's out there on the InterWebs.
Hope this helps!