Drop shadow effect is not a good idea for this photo since it makes them look like they are on top of an image, not in it.

I see where your coming from there. Thank you.

Also it would help blurring the edges of your objects. Easiest way is ctrl click on layer icon to select its contour, then go to Select modify contract by a few pixels, invert selection and apply gaussian blur.
The further an object is the more desaturated will appear, use this to create perspective.

really neat idea (links aren't working for me... please check).. if you could brighten/dodge the gray elephants a bit (I like to see their detail more, they are a bit dark.. and watch the white grass at their feet (a soft light blended green brush would do the trick in a second.. I think it would help a lot.. but that's just me

Super nice image.. GOOD LUCK

EDIT : MUCH IMPROVED.. good luck!!!

Thank you Drivenslush, I have made some adjustments!

Wow! so cute...

very nice

very nice

it may be my eyes.. but the string is confusing the image.. to me it looks like the dog is far far away, floating over the water... but the string reels it in and makes it seem like we should think the dog balloon is sitting right next to the human subject.. and it doesn't work.. if you made the string's perspective running out to the water... a very difficult proposition but it can be achieved...(lots of shear for wiggle and perspective for dof) I just feel like the dog is chasing the birdies but the string/leash doesn't look right..

sorry.. it's a great image, but it's visually confusing.. if you describe what you were trying to achieve I think that will help.. good LUCK!! and great job

I guess I did not know very well what to do and can not tell if it's still good! Thanks

nice one...fantastic blend...gl

Very cool work author...IMHO she is a bit big compared with the rest of the image...also perspective of the laps is for few degrees wrong...try to fix that and this will be great...by the way great touch with adding foot steps in the snow...best of luck

She's way too big, and the perspective on the tops of the lamps is wrong. Good idea & mood, though.

Also, symmetry doesn't help this image, two identical buildings is a bit weird. Find one or some tries for one of the sides.

edit: I made changes. Thanks erathion, CMYK46 and greymnal for your useful suggestions. But I don't understand how can I make my lamps perspective better...tell me

well done!

From the angle at which the lamps are shot, I don't see what you can do about the perspective issue.

You could transform the lamps just a bit , so that those in the foreground appear bigger, but Make Sure you Don't split the image with them. Splitting image = failed composition.
Also make the far distance foggy, so that you can't perceive horizon, but just image it. Check works of ponti & arca if you don't understand what i mean. I usually do it with some scatter common brush on a layer which I gaussian blur. But internet has many tutorials, try them.
Last tip: since all your elements are vertical, image might be plain - try to tilt the snowfall, a few degrees.
You're doing good, and you're also the only guy with warm mood!