This feature only applies to the Built-in Studies. Insert the base study by right-clicking the chart and selecting Insert Study. Select a Built-in study and click Apply, then Close.
Right-click the study itself and select Apply Study To [Study Name] followed by the Study you wish to apply. In the example below, we see Apply Study to Commodity Channel Index. In the sub-menu you'll see a list of available studies. We've chosen Rate of Change for our example.
The resulting combined study (Rate of Change applied to the CCI) will display in a new subchart: