
First off, you need a tripod and a nice DRY place to take your picture from. Mount your camera on the tripod and set your camera to manual mode. You need a shutter speed of at least 1/2 second or longer to get the effect, of course you can play wiht it to get the look you like. DIGITAL is great for showing you the results. Apature values are normally pretty small, f16 or f22 or smaller, so you don't overexpose the background images.
Sometimes you can not get the shutter speed you want and maintain detail in the sky, in such a case you have a couple options, a ND (netrual Density filter) makes everything darker to help with the limitations of your smallest apature. You can also use the lowest ISO setting 50 or 100 depending on your camera. One other more advance thing you can do is called HDR or High Dynamic Range Photography where you take several exposures of the scene at different fstops and or Shutter speeds and then digitally process them to produce one image.
Good luck shooting..