Locking Your Screen Orientation
To lock the puzzle in landscape mode, and if you're using iOS 4.x, double-click the Home button, right-swipe the screen, then tap the 'Lock' icon'.
If you're using iOS 3.x, just tap the 'Options' gear in the bottom-right-hand corner of the Puzzle List screen, and change the 'Disable Landscape' option under 'Display & Sound' to 'ON'.