Well, first you get photoshop, gimp, or another image-editing program.
Then, you find a topic for your sig.
Then, you look online and fnd a tutorial for how to make a specific background and make it, but throw in a couple of twists of your own.
Then you take a picture or "render" of the main theme and cut it out using either the magic wand tool or the magnetic lasso tool (the magnetic lasso is better, but more tedious). Those two tools are just from photoshop, btw, because it's what I use.
Then you stick it in on top of the background.
It's good to fool around with the contrast, brightness, hues, transparency, filters, etc. to really give your sig what you want.