Basically this means you spawn a limp ragdoll of a character and manipulate every limb (including all of the fingers and utilising Source's fantastic facial expressions engine) to get them looking how you want them. Then you can mess with lost of post-processing effects and particle effects in-engine to get it looks just how you want it. Also, many people go on to use Photoshop or a similar program to edit the screenshots further.

Anyway, here's one pose I made on a remake of the Call of Duty 4 map, "Vacant". The saturation was changed slightly with GIMP (yes a funny name I know), a free Photoshop-style program:

This is another pose I made. This is Final Fantasy VII themed. It has been made on a completely empty map so I made the church floor and added in all the flowers, benches and the roof rafters and obviously the characters. This is currently my desktop wallpaper too! All in-engine (apart from the text):

Hope you like these! Expect more in the future... well not after Christmas - I'll have far too much to play then!