How do you incorporate CGI in a real time movie?

I'm working on a film project and I wanna do like what the Wachowski brothers did in the Matrix. Or like in Sky Captain and the world of tomorrow. My film will have real people in it but I want to use CGI for some backgrounds and FX. How would I dod this. Thanks in advance! I'm not looking at prices right now. I'm sure I'll be able to get anything I need.