Replacing the background is done by isolating a foreground subject, often a person, and moving that object onto a new background.  The effort in creating the selection can be made much easier by photographing the subject against a green or blue screen background.  The technique has been used by the television industry for many years, they call it Chroma Key.  The basic set up is a background that does not contain a color found in the foreground object you wish to relocate.  You then can take the image into Photoshop, make a selection (noncontiguous) of the background, invert that selection and move the selection onto a new layer on the desired background.  It sounds easy, and it is but there are a few things you should be looking out for when creating these images.

Look at the angle the light falls at in your desired background image.  You will want to have your subject in the foreground have a similar shadow pattern (unless you want the image to look contrived).

Try to match up the color temperature of the foreground and background subjects.  If you are using a sunset photo for the background, a pale white person would look out of place.  You can correct the problem via gelling the lights, a filter on the camera, or an adjustment in Photoshop.  Unless you are going for the surrealistic look to your finished image, this is necessary.

Sometimes the easiest way to light the green screen, is to simply make sure that your foreground lights do not fall onto it.  In green screen photography, your goal in lighting the screen is consistency of light across the background.  If no extra light hits the background, you are more than halfway to your goal.  You will not have a problem with blow back (light from the background creating a halo effect on the foreground object) if your subject lights are brighter and neither they nor their shadows hit the background.