Place both images in one document.

Drop the opacity of the knot image to 60% (more or less depending on your sources) so that you can clearly see both the knot and the nail.

Rotate, resize and position the knot so that one end of the rope aligns to the nail shaft. I marked the aligned area in red below.

Isolate the nail using your preferred method (quick mask, pen tool, even the lasso tool would likely be good enough for a simple shape such as a nail), and copy it to a new layer.

Put it off to the side of the image for easy access.

Cut the top of isolated nail layer and position it in alignment with the top of the rope in your template image.

Tip: You'll be pulling from this isolated nail layer alot, so it's best to use "Copy selection to new layer" (Cmd+J - Mac, CTRL+J - PC) instead of actually cutting and pasting. That way you'll leave the isolated nail layer untouched and ready for you to pull the next segment from.

Take small chunk from the nail and position it over the rope. Use the Warp tool to adjust the nail so it follows the path of the rope, by dragging the handles and grid to align with the flow of the rope. There are three things to keep in mind here:
1) Light Source. You will invariably have to tweak shading later but don't give yourself extra work. Keep the lit side of your nail facing the light source as you work your way around the knot.
2) Use smaller chunks of the nail. As fantastic as the warp tool is, you'll have a much easier time (and get better results) by keeping the chunks you're distorting relatively small.
3) When warping something relatively rectangular (like a chunk of nail), it's best to start with the chunk either vertical or horizontal as opposed on a diagonal. This will keep the handles at the corners of the chunk you're warping instead of off in space.

Continue this process until you have completed the knot.

I wouldn't worry about blending pieces together or masking out overlaps just yet, but do remember to keep your light source in mind.

Now it's time to mask out the areas where one piece of the nail overlaps another.

You can hide your warped nail pieces to consult the knot image for guidance on where these overlaps occur.

You can CMD-Click (CTRL-Click on a PC) a layer to select all the pixel on that layer. That will make it easy to mask out the pieces in the appropriate places. I've marked the overlapping areas in red.

Next, zoom in on the areas where the nail pieces connect to one another.

Clone, heal, and erase your way to a smooth connection.

Since our nail is relatively low in detail, if you've left enough overlap on your pieces, you can probably do most of the blending with just a very soft eraser, but you will definitely need to spend sometime cloning and healing in places as well.

Once all the connections are blended, you'll still need to add some shading to sell the illusion.

If your knot template is lit similarly to your nail, you can use it for shading reference. I've marked several areas that need shadows. You can either use the Burn tool or a low opacity dark brush.

Now, hide all your work so far and use the clone tool to remove most of the original nail from the image. Remember to leave a stub at the bottom for knot to connect to.