Open file "Field" and using the Quick Selection Tool (W) make a selection of the ground. Press Ctrl + J to make a new layer from selection and add a Curves Adjustment layer to tone it down a little.
Open file "Sky" and using the Quick Selection Tool (W) make a rough selection of the ski. Press Ctrl + C to copy then paste it with Ctrl + V in our scene. Move this layer below the "Ground" layer. Press Ctrl + T to free transform this clouds layer like shown in the image below and apply a Color Balance adjustment layer to lower the intensity of the blue color.
Open file "Girl" and Ctrl + click on the "Layer 0" to select the opaque pixels. Copy (Ctrl + C) then paste (Ctrl + V) into our scene. Use Free Transform (Ctrl + T) to size and position the girl like shown below. The girl will be our point of interest in this scene. Notice that I didn't place her in the middle but to the left side of the image, at about one third from the left and two thirds from the right. Placing your key elements or points of interest like this makes your scene more dynamic and interesting. This is called "the rule of thirds" and if you are serious about composition you should search for thorough information about it.
Our girl is a bit dark for the scene so let's adjust this by adding a Curves Adjustment Layer and dragging the curve upwards. Alt + click in between the Curves layer and the "Girl" layer to clip the Curves layer to the "Girl" layer (by doing this we apply the Curves Adjustment Layer only to the "Girl" layer, without affecting other layers).
Because I am writing this tutorial after I finished my scene I know that a beam of light will hit the right side of the girl. A blue beam of light. So to make the scene look more convincing we should modify the colors and the right side of the girl's body accordingly.
Make a new layer (Ctrl + Alt + Shift + N) and clip it to the girl layer (or in this case to the Curves Adjustment Layer, which is already clipping the girl layer) and using a light blue color (#aeccff) paint with a round soft brush at 10% opacity the right side of the girl. Change the layer's blend mode to Color Dodge and lower the opacity to 80%. Select a light red color (#df1314) and repeat the procedure above, but this time on the left side.
Notice that I group my layers to keep them nice and tidy. I will not tell you at every step to group the layers but it is a good practice and can make future modification much easier.
Adding direction lights it's easy. First select the Pen tool and make a polygon like below. Press Ctrl + Enter to transform the path into selection and fill this selection with white (Shift + F5 and choose white from the drop-down menu). Press Ctrl + D to deselect and apply a 50-60px Gaussian Blur. Lower the opacity to 50%. Now to give our light a blue color make a new layer (Ctrl + Alt + Shift + N) and select the same color as in the step 4 (remember the color we applied to the right side of the girl? -#aeccff). Now with a round soft brush at 10-20% opacity brush once or twice over the beam of light. Alt + click in between the color layer and the light layer to limit the blue color only to the beam of light. Make yet another new layer and using a soft round white brush at 10-20% opacity dab once or twice where the source of the light should be. All you have to do now is to group these light related layers and free transform the group as a whole to arrange the lights. For our scene I added a second beam of light.