1)File->New to open a new file (choose the size and all of that)
2) Open the three files you want to use in photoshop.
3) Click and drag them onto the blank canvas of the new file -- they will each be on a separate layer
4) Use the orginal background layer for background as in the tutorial.

Oh, use the "Move Tool" when you drag. If you don't know which tool is the move tool, just type V.

sigh....

go to the first open image.
ctrl-a to select all
ctrl-c to copy
go to your blank new document or create one of appropriate dimensions
ctrl-v to paste (and it should paste onto a new layer)

rinse and repeat.

if it doesn't paste to a new layer, go to the layer pulldown menu and select "new".

don't sigh at me acfa.

I figured it out.

The reason that it wouldn't go into my new file was that the background was locked and I had to change the layer name to unlock it.

thanks for the help everyone.

creating a new layer is usually better than using the background- the background doesn't allow for transparency (which you'll need to do this).

You gotta open the layers palette.
Also you can drag and drop images from other files into your working file and they automatically will be on new layers... lol.