This is a photo, one exposure, no montage.
For those that are interested by the technical side of things, here is how that photo was done:
1) The phoenix was drawn from scratch on a black piece of cardboard, then cut out to obtain a stencil. This step was done by my wife, who has much better drawing skills than I do, not mentioning the patience to cut that cardboard during hours.
2) The phoenix was installed in the studio, fixed by its upper part to an horizontal bar. The point of this fixation is to be able to remove the phoenix and put it back in place easily, at will. To begin the shot process, I temporarily removed the phoenix.
3) I turned off all the lights in the studio: from there I worked in the dark.
4) I opened the camera shutter (bulb mode of course).
5) That is the trickiest part: I created some smoke (in that case with a smoke machine), then quickly threw an heavy object in the water to create the splash: simultaneously, I triggered the flashes (one flash + orange gel on smoke, another flash + blue gel on water/splash) with a remote I kept in my other hand. Yes, I had to try several times (throwing something in a glass of water in a dark room with smoke everywhere is a bit annoying).
6) I put the phoenix back in place, then placed a red gel in front of the camera lens.
7) I started to light paint the phoenix, using a candle from behind the stencil. Of course it was important to not stop moving, in order to avoid any blown area.
8) I put a yellow gel in front of the camera lens, then did some more light painting. The point of this second step was to obtain two different colors in the bird, which would (hopefully) look like fire.
9) I closed the shutter - done!
The processing was not too complex: the main point was to adjust the colors (especially on the bird) to make them look closer to what I had in mind.