Your website throws me a virus warning.
What you're asking us to explain would take a quite lengthy explanation. You'll want to select the "other person who is arrives from mist" from another photo using one of the selection tools (smart edge, free hand, magic wand, etc...) then paste that onto the base image as another layer. Use the Pick tool to place the person in the right spot and to resize them on your image. You'll then need to add a mask layer, show all to the person you're adding. Reduce the opacity to the foggy part of the person to let the fog through giving the illusion of the fog being in front of them. To do that use a gradient like what's explained here viewtopic.php?f=56&t=38582
There's a lot more fine tuning than that but it will get you in the vicinity of what you're wanting to do.
When you're satisfied with the results then save the image as a PSP file first, then save as a Jpeg (never save over the original image, then it's altered for ever and that's a bad habit to use). If you have to adjust anything, the PSP file will still have the layers for you to adjust, saving you from having to start over from scratch.
Sorry, I just reallized you're asking how to make the mist as opposed to just adding people to this image. You'll need to find a mist image and then work the files from there with the cut and paste type stuff that I talked about before.