I'm not trying to be rude here,but this is work that is accomplished by being a competent Photoshop user. If you know how to use the program you use your knowledge and creativity to make backgrounds (and anything else for that matter). Basically the example starts with a photograph for the background, effects and text are added to make the end result.
For fun, I started counting all the different effects and tools that were probably used to make the image you posted. I gave up after reaching 15. What Larry and I are trying to say is that this look is complicated to achieve and requires both intimate knowledge of the tools as well as considerable artistic sensibility.
My strong suggestion is that if you truly want to put the time in to produce art like that, you start by attempting to list all the different effects that *you* see in this image, pick one of the effects, and then lets concentrate on that one for a while.
For example, Chitkaran decided to discuss one way just the blurring effect could be done, but, for all I know, you might want to know how to get the blue overall color, or the suggestion of stars in the sky, or the white rectangles that seem to go both in front and in back of the buildings, or maybe you are interested in the border, or maybe the fake mountains with swirly ski trails (LOL) composited in the background, or, etc., etc.. There are plenty more that I didn't list. Concentrate on one thing to start. You have to walk before you can run.
PS - Also, we don't have a clue how much you already know about Photoshop, or for that matter if you are using Elements, or maybe a real version of PS but that's very old, or maybe a totally different program like Gimp that does much of the same sort of things, but the commands are all different. Give us some info about yourself and the tools you have on hand.