Puzzle Effect and Rounded Edges in Photoshop

How to achieve this effect in Photoshop CS2. Kind of like rounded edges with puzzle-like effect. Well I don't know the exact term but the picture below can explain it perfectly for you.Instructions are printed on each image. Text below just explain further what you should be doing in each image. For larger view, click on the image. I'm aware that there are other methods to achieve this effect...