The actors worked completely in front of blue screens, with every background and most props filled in through computer-generated imagery.
"There were days when we were - it was like being - you know, being playmates... at a friend's house," Law tells The Early Show co-anchor Harry Smith. "And other days, where you just felt like you were going to go insane. Because you were acting to a blue screen and a red blob. And that was it."
Set in a highly stylized version of New York, circa 1939, "Sky Captain And The World Of Tomorrow" is an old-fashioned adventure that harks back to the cliffhanger movies made during Hollywood's golden era.
In the film, Paltrow and Law team up to battle an evil genius out to destroy the planet.
Smith and Law both agree Paltrow looks fantastic in the movie, but she says it was all done with special effects.
"The clothes are killer. That hair is killer. The makeup is fantastic. But all that lighting, you know, where there would just be a light across... our eyes or something, that was all done in post production. So, they sort of painted it all,'" she says.
"The lighting and the shading was done in post [production], too," Law adds.
While the film is a hi-tech adventure story, a retro feel is also present in the relationship of the lead characters.
"At the heart of this incredible, visual feast and adventure story, I think the both of us kind of grabbed onto this central relationship - romance, bickering, banter, kind of play, '30s sort of relationship - like a life raft. Because to us, that was the heart of the film. But it was also the most fun for us," says Law.
These days, Paltrow seems to having her fun off movie sets. Last year, she married musician Chris Martin and in May she gave birth to their daughter, Apple, setting off a tabloid frenzy.
Paltrow says the birth of Apple showed her a new side of love.
"It's like a whole other compartment of your heart or something that you never knew existed. It was just to me like a whole other dimension, and space and time. It was like this whole love that I never knew I could have room for. And I also found it very healing. You know? It was like a love that sort of healed a heart that had been through a lot of suffering."
Paltrow says Martin came up with the name. "Her daddy just said when we were first pregnant, 'I think if it's a girl, we should call her Apple. Apple Blythe Alison.' And I just thought it was so beautiful. And I think Apple just conjures such lovely things - apple blossom. You know? It's just so sweet. I love that he named her, too. And I didn't know it was going to be such a topic of conversation... But it's funny, because there are girls named Ivy, or Rose, or Lilly."
Paltrow points out Law's daughter in named Iris, "and that wasn't an international scandal, was it?"
"Sky Captain And The World Of Tomorrow" opens nationwide Friday and is being released by Paramount Pictures, which is owned by the same parent company as CBS.