That's a very broad question, so I can only give a very broad answer:
Start here to learn After Effects: http://adobe.ly/AE_basics
If you give us a link to a specific video, give a specific time in that video, and ask a question about a specific piece, we may be able to help you in more detail.
Layers, blend modes, camera tracking, motion tracking. Nothing too advanced but you'll never get there without spending a bunch of time learning how compositing works. If you could pull off some of the effects in Photoshop on a still you are part way there.
Here is the video I have questions about:
How did he make that moving probe, the blimp with jacks gap on it, and the rising 'TV' videos that pop up as he is walking?
Like I said before "Layers, blend modes, camera tracking, motion tracking. Nothing too advanced but you'll never get there without spending a bunch of time learning how compositing works. If you could pull off some of the effects in Photoshop on a still you are part way there."
Add in rotoscope to separate foreground and background elements like where the CGI elements go behind the speaker. This project is NOT a click on a plug-in project. It took planning, creating some nice cgi elements, and Roto, Layers, blend modes, motion tracking, camera tracking and work. Expect to spend about 100 hours learning the techniques to pull off a similar video and then another couple of hundred hours of experimenting to get it to look as good as he did or, start with the basics. Try making something similar in Photoshop if you know that program and then use the same layering techniques in AE.
Start with something simple like a probe passing behind an actor. First, create the image of the probe. Match the lighting on the probe to the lighting in the scene. Then duplicate the footage with the actor and use roto to isolate the part of the actor that the probe will pass behind. You don't need to waste time masking out the entire actor, just the part where the CGI probe goes behind him. If the camera is moving do a 3D camera track and insert a null or a solid and a camera. Replace the null or solid with the footage of the probe and sandwich it between the background footage and the masked copy of the actor. Now work on the edges, the color balance, light wrap, and the other things you need to do to sell a shot as real.
If nothing I said in the previous paragraph makes sense start with the basics. Links have been posted.