I'm not 100% sure what this feature is called but it's kind of like "Green Screen" on FCP.
The feature I am after is being able to select a (for example) a moving person and then delete the background, leaving only the person and then being able to add your own background etc.
Is there such feature on Premiere Pro or do I have to look at other programs out there?
If there is such feature, are there tutorials on how to do so?
You mean chroma keying. Look under keying effects, but better is to use Keylight in AE or Ultra as a stand alone program. CS5 will include Ultra for chroma keying.