how can i build this?

Just to explain in a bit more detail:

• Make a red solid above your soldier
• Turn down it's opacity so you can see your figure below.
• Use the pen tool to draw blobs to be the lights hitting the figure.
• This creates masks on the solid, so next you want to feather these masks loads (this help hide the fact it's fake.
• Assuming your figure has an alpha channel. duplicate your figure and place the duplicate above the solid, then set the solid's track matte to alpha matte.  This will give you a cut out of the solid in the shape of the figure, so that the fake lights only appear on the figure.
• Set the solid's transfer mode to something light Lighten or Screen
• Finally, you can either use the Strobe effect or keyframe the solids opacity to have it flicker

That's all 3D animation, so I'm not sure what you are asking. Other than that there's only a bit of smoke and particle effects and a chromatic abberation/ channel shift, but the rest realyl is based on just lighting detailed 3D models suitably. Of course it could potentially be faked on a photo with lots of duplicate layers, masks, coloring effects, blending modes and animating opacity, but it's going to be quite a bit of work then...

Mylenium