The Puzzle texture came standard in Photoshop CS3, but it wasn't included in CS4. There is a download from Adobe that contains this texture as well as other enhancements removed in Photoshop CS4. They call these "Legacy Textures."
To install the Legacy Textures:
Go to the Adobe page which contains the download file named PHSPCS4_Optional_Plug-Ins.zip.You can find that here.
Extract that file, then run the PHSPCS4_Cont_LS1.exe file that is extracted.
This action will extract all plug-ins into the folder indicated when you run the file.
To install the legacy textures to be used with the Texturizer filter, drop the /Goodies/Presets/Textures folder that was created when you ran the .exe file into the //Adobe Photoshop CS4/Presets folder. As a default, this can be found under Program Files>Adobe> Adobe Photoshop CS4>Presets>Textures. If you installed Photoshop somewhere else, you will need to look there.
Restart Photoshop.