Can anyone tell how to create an effect of light like this?

Easy enough :-)

Duplicate your background layer

Make a good selection of your foreground objects. In this case, I used the palm tree and did a quick magic wand selection and added a mask.

Duplicate your background layer again. Run the Radial Blur filter set to ZOOM. You can target where the center of the zoom should eminate from by moving the center of the diagram in the Zoom dialog box. Here I set it for about the position of the setting sun. You can also set the strength of the zoom.

Sandwich the Blurred layer between the original background (bottom of the stack) and the layer with the foreground mask (top of the stack). Adjust the opacity of the Blur layer to suit.

Thank You Swampy

AKA "god rays" (no pun intended, that's just what they're called, usually coming down from clouds, etc.). Here's a free plugin called Luce that does a good job of them:

http://amicoperry.altervista.org/luce/main.html