Simply put, you shoot the host with a plain colour background, usually blue or green, then use the Chroma Key FX to make that colour transparent.
There are lots of finer points, such as separating the subject from the screen, lighting screen and subject separately, using back light etc, but the simplest way to experiment, is to shoot someone or something with clear blue sky behind them (if you have the climate!), then removing the blue.
The background that shows behind the subject is whatever you put on a lower track or tracks.
Peter Wright
Perth, Western Oz
http://www.allroundvision.com.au