A passage from the song explains a pair of wings disappearing. So i've used a wings of an angel and put it at the back of the women as if she wants to fly away. I used the Magic wand tool to cut out the wings from a black background. To give it's effect of a blurry and disappearing wings, i used the feather tool to smoothen the edges. After that i used the burn tool to darken some edges to give a special effects, and then i lowered down the opacity to make it as if its seen through.