First step is to setup your terrain. So you take the provided image and make a selection of the people on it. After you make the selection just paste it on a new layer. After you have copied the people to a new layer it's important to delete them from the image just so we are left with only the sand and the sky. Now use Ctr + T to enter free transform mode and and rotate the image so the horizon get's to a straight position. make a selection of the image and press Ctrl+Shift+i to invert the selection, so that the blank areas of the image are selected. After doing that bring up the Fill menu by pressing Shift + F5 and on Content/Use: select Content-Aware and press Ok. (That will save you a lot of time with the Clone stamp tool)

Select the sky on the image and mask it. After you have done that bring up the next source image and place it behind the sand. Resize, align and your done with this step. (If your going to make some adjustments to the way horizon blends, now is a good time to do it. If it's too sharp fix it by editing the mask with a soft brush using around 40-50% fill.)

Open up the image with the plastic troops and the image as a new layer. Make a selection of the soldiers and refine your edges. (colors in the image are a bit tricky so look over the image to see if you missed something in you selection or added more than you need). Now turn that selection into a layer mask (a nice non-destructive method u can always retouch later on). Make a new layer and color the soldiers so they are more life and reduce the opacity of the layer. Than copy the layer mask from the soldiers layer to the colors layer. Add adjustment layers Levels and Exposure tho the soldiers layer to make it blend with the image. Make the shadows a by using a selection of the soldiers. Fill it with black, reduce the opacity and flip it vertical. Now align it using the warp tool in Free transform mode

For the explosion you can use the tutorial in the source ling under the next picture. It's best if you use some of your imagination and add some stuff of your own here so don't lean 100% on this tutorial and be a bit creative.
The rocks and sand shrapnel part of the explosion is made by using an eliptical selectio of the sand (on a new layer ofc). Now rotate the image sideways, go to Filter/Stylize/Wind and set it to Stagger. Apply the effect a few times until you are satisfied with the look. Rotate the image back to the starting position and use the warp tool in free transform mode to create the shape in the image below. Use a layer mask to remove some of the parts we don't need visible.

The next image is just the sand blast so u can get a better look at the end result and you will see the explosion in the next step.

Select the layer with the people from the first image that we cut out. Now cut out everyone out and paste them on there separate layers. When that is done you will be left with a person that has only one arm, so just copy and invert the left arm. Make a copy of all 4 layers. Flip the child layer vertical and place it under the kid with reduce opacity so it works as a shadow. For the other 3 layers use motion blur (angles are different depending on the placement)

Put the helmet on the sand and use a scatter brush to mask some of it to make it look like it's a bit stuck in the sand. Use layer styles and Exposure layer to blend it in the image.

Dot worry if it's not perfect, the next step will fix that.

Make a new layer and go to Filter/Render/Clouds. Reduce the opacity of the layer until it looks like a foggy smoke like effect. Make a layer mask using a gradient to mask of the smoke in the sky and some of the bottom of the image.

Make a new layer and fill it with a nice "orange to transparent to orange" gradient and reduce the opacity so you can make the image look a bit more warm. That will help you blend most of the parts in the image. And now your scene is finished.

If you used Layer masks and Adjustment layers you did well and now you can go back and retouch some stuff if you don't like the end result.