Mechanics
Duel Puzzles are pre-set duel situations in which both the opponent and the player have a fixed game, this includes:
Life Points
Monsters of any kind (face up, face down, effect, etc.)
Face down/up Trap/Magic cards
A limited hand
Extra Decks
Graveyard
Removed from play cards
The objective of the player is to defeat the opponent with the given cards usually within the single turn given, usually by using all the cards given to them. It is common to see the opponent having a ridiculously high amount of Life Points such there is only one method to do just enough damage to bring them to 0, and the player themselves having a ridiculously low amount of Life Points to minimize the room for error allowed their solution. Fortunately, for the player, they have the ability to check otherwise unknown information, like order of the cards in either player's Deck, or any cards the opponent has face-down or in their hand.
Puzzles do often give a few tries to the player before the puzzle is considered a total loss. Sometimes losing once or more is needed to solve the puzzle effectively, either to understand what Set cards the opponent has or how they will react with those cards, in order for the player to better plan their strategy in subsequent attempts. It is important to note, that regardless of the times a certain puzzle is played, the cards available for the puzzle will NEVER change, and as such the player must carefully make sure to check all cards on the field, and even those that are either removed or in the graveyard, and those of the opponent as well, as some puzzles even demand that the player makes use of the opponent's cards to solve them.
Source Whoever Played Yu-Gi-oh! Video Games AND Here: http://yugioh.wikia.com/wiki/Duel_Puzzle