Actually, all you do is take the wings, copy them, flip them, paste them, then open the original Mewtwo pic up, copy a portion of the body, then paste it over part of the wing. This makes it look like the wings are attached on the back of the pokemon. Quite simple, really.
Ok, I'll post a tutorial. :P
http://img262.imageshack.us/my.php?image=step13yz.gif
Open your Mewtwo pic.
http://img262.imageshack.us/my.php?image=step25zo.gif
Enlargen the work area.
http://img262.imageshack.us/my.php?image=step35kd.gif
Open your lugia pic and freehard (the star) select around the RIGHT wing. Copy.
http://img262.imageshack.us/my.php?image=step47bn.gif
Paste into the Mewtwo pic.
http://img262.imageshack.us/my.php?image=step61sc.gif
Select the wing, then flip it. Copy + Paste.
http://img262.imageshack.us/my.php?image=step70fi.gif
Line it up with Mewtwo's shoulder.
http://img262.imageshack.us/my.php?image=step80ux.gif
Open the original Mewtwo pic IN A NEW WINDOW. Copy the squared-off portion of Mewtwo's body.
http://img262.imageshack.us/my.php?image=step91sf.gif
Paste, then overlap the part of his body.
http://img262.imageshack.us/my.php?image=step106mf.gif
http://img262.imageshack.us/my.php?image=step113xa.gif
Move the other wing over to Mewtwo's left shoulder.
http://img262.imageshack.us/my.php?image=step123ah.gif
Copy the squared-off part of Mewtwo's body on the original pic opened in the seperate window.
http://img262.imageshack.us/my.php?image=step134rw.gif
Paste and overlap.
http://img262.imageshack.us/my.php?image=step140rm.gif
Shrink the work area and center the image. TA-DA! :P