If you have After Effects, you'll probably want to do this in After Effects.
It's a lot harder in Premiere Pro, especially if there is any camera movement.
What you will be doing is creating a PiP (Picture in Picture) and then limiting it with Track Matte Keying. There is a current thread, where Ann Bens provides step-by-step tips on doing exactly what you need. I will search for it (could be in CS4 forum?), and post a link.