I had the same problem too. I would complete but nothing
To complete the puzzle just start off by moving the piece that's all the way to right in the middle row. Drag it left a little and it should lock in place. Then connect the pieces that one an so forth. After the puzzle dissapears the link is on the top left inside the square.
Ok........ click the second piece from the left on the bottom and then release it, it should then snap into place, then arrange the rest of the puzzle around that, and it will work.
It reminds me of whales calling, the ambience in the clip.
No link appears when the puzzle is arranged. You just to have to click the puzzle, and the lines dividing the pieces fade. It then takes you to an image of some chalkboard with song titles written on it. Arriving Somewhere (But Not Here) was the only song I could click.