Chances are, you aren't going to find a full-blown tutorial on "how to make a wild west-style poster." What you do want to do is look at the characteristics that a old-style poster like that has, and then from there, determine the individual effects that you will need to use, and build the poster from the ground up. Here's the process I would go through:
First and foremost, create the layout you want for your poster, using the key characteristics regarding text and images. Don't worry about the "effects" right now, just get the layout and fonts right.
Then, choose your color scheme (probably black and white) and age the colors by making the white background yellow, and fading the black type to brown.
Then go ahead and start dirtying it up. Using grunge brushes, create scrapes, scratches, blurred text, watermarks, rips, etc... all to get the look you want on your poster. At that point, you may have to retouch your colors, but it should be pretty much done.
Then, away you go! Just keep in mind that the most important part is getting the initial layout right, the rest can be tweaked after the fact, but it's hard to go back and change the initial layout, once you start the aging process.
