Help Please! Problem with images pasted on top of other photos

There is a question I have been meaning to ask for a long time. When I cut out a group of people from a photo for the purpose of dropping them on top of a new background, I usually run into the same problem. Even tho' I may have set them on top of a concrete sidewalk or the likes, they still have that look of hovering or floating in mid air. Can anyone help me with this?

Thanx a ton,
tooleey

If there is a way to magically to this I think I'd like to know too. The reason it looks like that is because of the way the people were lit, they have the lighting from the other picture with no shadows or anything from its new surrounding. Perhaps try to alter settings on just the people layer, ie maybe make them lighter or darker depending on what else is happening in the image? Just an idea, am not sure really