The best thing to do is just play around with it. I learned by downloading sequences of photos from snowboard websites (can't remember where - just search), then making sequence shots of them.
When taking the photos, keep the camera still (don't pan with the skier), and have the full in-run and out-run in shot - this will make your job a whole lot easier and you'll get a better result. If the skier overlaps the one in the previous frame, it makes your job harder, but it's still possible.
Decide which image you want as the background. Sometimes it won't matter at all, sometimes you'll want people in the background looking in a certain direction - just choose whatever frame you think will look best.
Open up all your images. Drag frame 1 onto the background frame - this will create a new layer. Set the new layer's opacity to around 40% and line it up with the background, then set opacity back up to 100%. Now you have to mask everything except the skier in the new layer (plus any flying bits of snow etc). There are several ways to do this. Here's how I do it: make all other layers invisible (click the eye next to them), then 'Add layer mask' to the layer that you're working with. Then, making sure the layer mask is selected (not the image itself), draw an outline around what you want to keep with a black paintbrush. Then use the painbucket outside this outline to mask off everything but the skier. Now make the other layers visible and it should looks great. Repeat this for the other frames.
Like I said, just play around with it - you might find a method you prefer.
Some shots I've taken (UK dryslope represent):
This is why you shouldn't pan the camera - makes you job hard and gets a shitty result: