I used Paint.NET to make it, but I also have a bunch of free third party plugins that don't normally come with the program. The colored lights were just some standard light rays I generated and distorted/colored a bit. As for the cloud layer I just deleted the parts that were over the pathway so it would look shiny and stand out. Then there's just a light texture in the very back and a few other overlaying layers to make certain parts lighter/darker.
Overall it just takes lots of practice and experimenting, mixing effects together in different orders to see what you can come up with.