How to combine 2 pictures while shooting on a digital SLR?

I have a nikon d5000 and I've seen pictures combined together to look like they were taken on a film camera. How do i do that?

I'm not familiar with this particular model, but look for 'image overlay' command in Retouch Menu. It works only with RAW format. Once you have saved the overlayed RAW image you can convert it into jpeg by using NEF processing command in the same menu group.