Creating a Jigsaw Texture
Open the photo you want to apply the jigsaw texture to. I am usin the picture below:

The first thing we need to do is make the background layer edible. To achieve this double click the name background layer in the layers palette and type in Layer 1 at the New Layer dialog box:

To apply the jigsaw texture, select Filter from the Menu Bar then Texture > Texturize.
To find extra textures, click the load texture button

then go to the Presets folder in the folder where Elements is installed and find the Textures subfolder

and select the Puzzle texture from the list.

I used the settings below for my puzzle. Play around with this option and see the different results you will get.
Click OK to apply the settings. Your picture should look similar to the one below:

Using the zoom tool
you will need to enlarge the jigsaw pieces to assist in the next step, the selection of the piece or pieces. To make the selection, choose one of the lasso tools, either the Lasso, Magnetic, or Polygon Lasso Tool:

I used the Magnetic Lasso Tool with the feather set to 1:
Click around the jigsaw area until you have it completely selected as shown below:
Click on the move tool
to select the puzzle piece. Click on Edit > Cut, then create a new layer by clicking on the new layer icon
on the layers palette and click on this new layer to select it then select Edit > Paste to paste this puzzle piece on its own layer. Now rotate the piece and move it someone on your puzzle then click the green check to accept the move. Your layers palette should look similar to mine below:
Click back on Layer 1 and repeat the steps for selecting another puzzle piece. Remember to cut it and paste it on another layer. Continue taking pieces out of the puzzle until you get the look you want.
Click on one of your puzzle piece layers. Click the Apply Effects, Filters and Special Effects button on the Artwork and Special Effects palette.

Select Drop Shadow from the dropdown menu:
Apply the Outline drop shadow. Continue adding this drop shadow to each of your puzzle pieces.

As you can see on the layers palette below, the icon highlighted with red indicated that a effect has been added to that layer.
I only removed two pieces and below is my finished product:
