The Jigsaw Puzzle application which was included with some versions of the Mac OS is not installed as part of Mac OS 8.6. However, upgrading to Mac OS 8.6 will also remove Jigsaw Puzzle on some configurations if it is already installed.
If Jigsaw Puzzle is already located in the Apple Menu Items folder of a pre-existing System Folder and you do not wish to delete it when installing Mac OS 8.6, move the application into another folder such as Apple Extras before running the Mac OS 8.6 installer.