I don't think you can buy any of the Millenium Items.
Last I heard, you had to win some YuGiOh tournaments and the trophy was a replica of the Millenium Puzzle, so it's floating outthere somewhere.
I opted on making them.
Here's a link to a picture I uploaded
Ring > Rod > Scale > Puzzle > Key > Tauk > Eye
They're mostly wood and crazy bandsaw/power sander action so I hope you have that equipment handy. I'd hate to see someone try to sand/cut those by hand. @_@.
Good luck and be sure to show pictures!