The options screen does not seem to work properly. Most obviously, the Preview option is not always stored. Not sure if Directory was stored, nor whether it requires or removes a trailing slash.
When I gave all the options, it works. (resize is not documented)
[jigsaw-mp gallery='/wp-content/gallery/local-puzzles' size=460 pieces=4 rotation=0 preview=1 bgcolor='#ffffff' resize=1]
(The path is because I'm using a NEXTGEN Gallery to store the images)
However, it starts with a turquoise background and no puzzle. You have to view the gallery and choose an image before the puzzle is visible. This behavior is not mentioned in the documentation, so don't know if that is the expected behavior.
The canvas is the specified size, but the image was resized to be smaller. Documentation does not say what size the images should be if the resize option is not configured.
Also, I don't remember the description mentioning that the puzzle uses Flash technology.