From the Main Menu select multiplayer, then Play Same Console In Classic Mode. You will need to plug in two additional controllers, and insert them into the game. Once you've done that, select Picture Puzzles, and again choose Amazing Stories - June 1940 or any puzzle you are familiar with.
Once you've decided your puzzle choose these settings:
Experience Level - Beginner
Number of Pieces - (lowest amount passed 200)
Piece Shape - (any)
You can actually play with friends, or just play by yourself, the only thing that matters is that you have three players putting together the puzzle.