To create a puzzle image is not so hard. We will displace a series of slices that composes a picture. Open your image in Adobe Photoshop and check for the size (Image -> Image Size… -> Cancel [press cancel to go out without any changes]), then go to File -> New and insert the same size but adding 100px by height and by width; set a transparent background. e.g: picture size 800x533, new document size:
Select the Move tool, click on your image and drag it into the new trasparent document. Center you image in your new document.
Now we start to work with the guides (active them and the Rulers to by the menu View -> Show):
Note on the top and on the left side of your image that the Rulers are now visible; click on the vertical one (left) and drag a ruler on the canvas: you'll see a light blue line. Do the same for the orizzontal untill you obtain a result as the one shown following. If you are right you have created 6 areas on your picture. All of them has about the same size, better if squared, but not compulsory. In the example I've created 3 vertical rulers at 300px ed a 600px and diveded by 2 adding an horizontal ruler.
I also added 4 rulers to mark the stroke of the picture.
And now let's go working for a while with the Selection tool.
First of all let's click on the Rectalngular selection tool on the Tool palette:
Drag the selection from the top left to the bottom right of the first rulered area.
Now click ctrl+j or choose Layer -> New -> Layer via Copy:
Repeat this step for all the rulered areas, but pay attention to active the background layer before to create the new layer. At the end of this step you'll have 6 slices of the background. So you don't need the background no more and you can trash it or simply hide it by clicking the eye beside the layer, as showned in the following picture:
Now let's go to apply some Styles to the layer. Access tha main panel by clicking right mouse button -> Blending Options
In the next window opened set this values:
1. Drop shadow
Done for one. Now copy and paste the same layer style for the other layers as showned in the following pictures:
You can just copy one and paste all of them. Activate them at the same time (only after Photoshop CS2) by clicking Shift.
Drag back your rulers or simply press Ctrl+H to hide them and check if the picture is like this:
Now we just have to rotate the slices by clicking Ctrl+T and choosing Edit -> Transform -> Rotate. Use the curved arrows to rotate the slices:
Once you are satisfied confirm your transformation by clicking the Confirm sign in the option bar:
Change your layers order by dragging up or down in order to move back or forward the slices:
In the example I'm moving the layer 7 in between 4 and 5.
You can also change the histogram for all the layers by adjusting the levels ( Image -> Adjustments -> Levels… ), in this case you'll pretend that all the slices has different light attributes cause they come from different pictures.