These two videos are very instructive. I had a go at it myself and let me tell you: it really works very well!
I began with this 2 pictures:
Then you move the picture with the girl onto the streets of New York.
Select the girl with the quick selection tool (W) and drag the transparency slider to the right.
So there you have it: in a couple of minutes you can change the background of the image. It's that simple!
Watch the videos and try it yourself!