Green Screens (or Blue Screens) use a technique called chroma keying which removes a specific color value from a video and replaces it with an alpha channel (transparency). You can then add whatever you want to the background and after a few adjustments, the transformation can be seamless.
This technology used to be reserved for big hollywood productions with lots and lots of money!
However, it is now available for anyone to recreate this effect at home and for cheap!
Making your own Green Screen
All you need a big green backdrop (flashy green bed sheets work well, or you can use several sheets of fluorescent green bristol board). If you’re a little more hardcore and willing to spend a bit of money, you can purchase actual chromakey green backdrops from various stores (anywhere from $60 to $200 depending on the size).