Characters are generally made in the game itself, then the saved characters can be used in the Studio program. The studio gives you access to all the main game's maps/background locations, plus any you've installed through mods. Then you can place the characters within those scenes using the tools that the studio programs have to position models wherever you want. Then you just pose them (or load a saved pose or one of the stock poses/anims), get the camera where you want it and take a screenshot. Pretty basic stuff, not too different really from the way you'd do things with something like Daz or TK17, just with HS things are broken up into different programs.
They're all pretty cumbersome though and very limited in what they can do, but they do all come with ready made customizable rigged models to work with, which I suppose is the main selling point that draws people in to work with them. I haven't tried that Research into Corruption, but based on the screenshots, my guess is that the backgrounds they're using are actually 3D scenes being loaded into the Studio to place the models in, rather than compositing renders of the models with background images.
EDIT: If you really want to mess around with rendering out just characters with alpha backgrounds, for sprites or something, here is at least one solution:
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