An Immigrant is a person who has citizenship in one country but who enters a different country to set up a permanent residence. Just entering another country does not make you an immigrant. In order to be an immigrant you must have citizenship in one country, and you must have gone to a different country with the specific intention of living there.
As a legal immigrant you will not be required to show proof that you have an intention of returning to the country of your current citizenship. You will have to obtain an immigrant visa or some other document that certifies that you are eligible to enter the country you wish to immigrate into.
You can gain an immigrant status in many different ways, according to the laws of the country you wish to immigrate to. In many cases the family members of citizens may be allowed to immigrate to the country and gain citizenship. Also, if there is a demonstrated lack of qualified naturals for a certain employment position, then you may be allowed to gain an immigrant status if you are qualified for that position.