I think I see the problem. Let's see--you would like a multiple response screen up that STAYS up, allowing the subject to click on various tasks but that also allows them to return to the initial choice screen?

First question--can you use alternative games that are not EXEs (e.g., an HTML solitaire game available on line)? The reason I ask is that if you could find HTML versions of these games you could run all of this perhaps from your single custom HTML item. The trick would be to add links to the other HTML games on your custom item page.

Before I continue, let me ask--do you need to know what they do while playing the puzzle game, or do you just need to know how long they spend on it? Because if it's the latter, you could just use the WebTracker item type with links to each game--and each game would have its own HTML page with links back to the other games. The WebTracker item type would track how long they spent on each game, the URL tracking history and so on. However, if your custom Puzzle item gathers other data you may need another approach.