Replying to Sequence photography, HELP!!!!!!!!!

i am new to photography and need help making a photo like this [IMG]saasfeeride.com/action/gallery07/pally-learmond/Henrik-Harlaut_Sequence.gif[/IMG]

i have a camera (sony) that can take multi frame shots but how do you put them together in one image?

is there a camera u need?
program?

please HELP!!!! '

ps. dont respond saying searchbar.