“Sky Captain and the World of Tomorrow” is full of visions of the dark, soaring New York cityscape, dogfights in the sky and the majestic Himalayan mountains. But what was the movie set like for the actors? A whole lotta blue. That’s because “Sky Captain,” despite its grandiose appearance, was filmed entirely against a blue screen with digital effects filled in. Though real actors star in it, almost everything else is fake. Think “Roger Rabbit” in reverse. While computer generated imagery has for years been a large presence in movies, “Sky Captain” is the first major motion picture made entirely...