I've stuck to Paintshop Pro as that's the more affordable software, easier to use (in my opinion) and free 30 day trial from Corel for those who don't have it yet.
With this guide you'll be able to go from this:
and this
into this:
http://www.fataliscombine.com/xenrath/cutoutfinal.jpg
It takes only a few minutes, depending on how much attention to detail you spend can take longer. I advise having your cutout character screenshot somewhere with a simple background to get a "blue screen" effect. You can cut out from complex backgrounds but it's slower. As this is a quick and dirty guide, I've not spent a lot of time tidying it up or retouching it; it's just to get people rolling

The main key difference from Bethany's guide is the use of Background Eraser, and then using Eraser to tidy the edges up.
Here's the video tutorial

Some things to note: no lighting or other manipulation applied. It's best to do that on a layer/mask basis, as described in Bethany's guide. Layers are your friend. Use them often! Once you're happy with your relocation you can go on and apply the filters and lighting to the background and/or the character layer, to help it merge better.
Enjoy! (best to post your result in Bethany's thread please, as this is just a tutorial thread - any questions on this technique only, please post in here)