Well, they weren't in any exotic location, they were all taken in a nearby urban neighborhood. The beautiful backgrounds were taken throughout Europe and supplied by Kosmograd.net. You can view his Photosteam on Flickr. Using the wonderful tool of Photoshop, we did photo composites of the individual photos.
First, he background was flipped horizontally so the lighting matched better. The Guard was cut from the group photo, inserted and scaled to fit. His lenses were darkened and hat brim lowered to cover the space above the goggles.
Using the "levels" highlights and shadows were adjusted and the "dodge" tool was used to lighten the right side of the hat and shoulder. The final touch was a lens flare. Gotta love the lens flares.
Have to say we had a blast building the props and compositing the images.