Timed exposure and Photoshop
You are correct, the way this works is to place the camera on a tripod and either set the drive mode to continuous (hold down the shutter button and the camera keeps taking photos) or just manually shoot the photos, although the previous method is better.
Once you have your individual images, you can just open the series in Photoshop and use any number of methods to select the object. The best way would be to use Quick Mask and a feathered brush to quickly select the skater and a bit of the background, as all of the exposures will be the same, blending the image will be a snap. Line them up and you have a stop-motion image showing the various positions through time.