Place it on a layer under the girl. Click on it and holding it, place it where it is necessary. Give it the appropriate size, using the command Edit ? Free Transform (ctrl+t). Cut out everything that is not necessary on the photo ? in this case it is the sky. Insert the photo on a new layer with the sky that corresponds to our idea.

dreamer photo effect in adobe photoshop 

Place this layer under the sand's layer and correct the size if it is necessary.

Hide temporarily the layers representing the girl and the wings, just not to impede us in our work in the future. It is possible to do it clicking on the eye next to the layer in the Layers window.

dreamer photo effect in adobe photoshop 

Apply the command of enlighten: Image ? Abjustments ? Desaturate (shift+ctrl+u) on the sky's layer and on the desert's layer. Apply the filter on both layers (Filter ? Blur ? Smart Blur)

dreamer photo effect in adobe photoshop



Next apply the color filter on each layer: Image ? Abjustments - Photo Filter, giving an orange color to the sky and to the desert.

dreamer photo effect in adobe photoshop



Make the sky darker and more contrasting: Image ? Abjustments ? Brightness/Contrast. Apply the filter on the sand's layer (Filter ? Blur ? Motion Blur)

sand motion 

Blur the sand's edges, where it touches lightly the sky, using the instrument Blur Tool.

dreamer photo effect in adobe photoshop 

It is possible to combine these layers now. Mark out the upper layer, in our case it is the desert's layer and use the command Layer ? Merge Down (ctrl+e). Connect again the visibility of the layers with the girl and the wings, clicking on the place that
   
contained the eye, opposite the necessary layer and place the wings layer on the girl's layer (ctrl+e). Next insert the picture representing the smoke on the new layer.

dreamer photo effect in adobe photoshop 

Make it lighter and increase the contrast the way that the smoke would become of black color (Image ? Abjustments ? Desaturate; Image ? Abjustments ? Brightness/Contrast).

dreamer photo effect in adobe photoshop 

Change the layer's type on Multiply and copy it several times with the command Layer ? Duplicate Layer. As a result we got six copies of the smoke layer and all of them should be different according to the size, color intensity and visibility. Change the size using the command Edit ? Free Transform. The color intensity - Filter ? Blur ? Gaussian Blur and regulate the visibility on Layers window.

dreamer photo effect in adobe photoshop 

Place the layers like shadows on the entire picture. Two of the layers should be very clear and wavy (Filter ? Liquify, making use of Twirl Clockwise Tool and Bloat Tool.)

tool liquefy in adobe photoshop 

dreamer photo effect in adobe photoshop 

Combine all the layers with Layer ? Merge Visible (shift+ctrl+e) and finally correct the colors with the command Image ? Abjustments ? Hue/Saturation (ctrl+u).

dreamer photo effect in adobe photoshop 

Represent it into a frame if it is necessary using the instrument Crop and Rectangle Tool.

dreamer photo effect in adobe photoshop 

+ View full size image

That's it!

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