Merging 2 video input source into 1 output
You need to edit it using an editing software like Premimere, Sony Vegas or any other.
I don't know how you do it in Sony Vegas but in Premiere you just place both videos in the sequence and resize them.

That's pretty basic editing, try to search for the best editing software that works best for you and search for tutorial about that software.

If you need it for live broadcasting then you need a professional live video broadcasting software or use what you got in the platform you're broadcasting in.