It's just a photo of some smoke (well, in this case 2 photos blended together) taken against a black background. Then invert the image to a negative, so the smoke goes dark and the black background turns white. Tint the resulting image if you want... and that's all there is to it.
Always wanted to do this and didn't know how. Smoke from a cigarette will do?
Thanks for the info. You've given me another thing to experiment with! Thanks again.