Blany,
The first step to creating a "slide puzzle" is to create your puzzle pieces using whatever graphics program you want. Each puzzle piece will be a single graphic.
In Authorware, you need to set up an Interaction icon that uses Target Areas. Import each one of your puzzle pieces as a separate Display icon and place them on your flowline before the Interaction icon You set up the correct target area and have Authorware judge whether or not the user has placed the puzzle piece in the correct location. If the user has selected the wrong location, you can set an option to have Authorware return the puzzle piece to it's original location so the user can try again.
I hope this helps.