Why do we care about attribution?
Very simply, we don’t want to host plagiarism on the site. Any puzzle which you yourself did not make must be properly attributed. (Attribution of “I made this puzzle” is of course permitted.) We enforce this policy with a site-specific close reason, used whenever the sourcing information is not within our standards. There are non-plagiarism reasons that we care about attribution as well; proper sourcing means we can better enforce some related policies. (See the section “Why is my puzzle still closed if I gave attribution?” below.)
Okay, so how should I give attribution?
Ideally, you can give us a direct link to where you got the puzzle from, or the name of a print publication from where the puzzle is sourced. If your source has the answer and you’d like to prevent spoilers, simply note that you’ll edit in attribution once the puzzle has been solved. (And then follow through.)
I swear, I don’t know the source!
Since we are mainly concerned with plagiarism, admitting that you did not make the puzzle is okay. If all you have is an image or hearsay, we can recognize that that may be all you have. But if you have any more information, or the possibility of getting more information (e.g. by asking your friend where they got the puzzle from), please do pursue that. Attribute your puzzle to the greatest degree possible.
Why is my puzzle still closed if I gave attribution?
Providing attribution may alert us to the fact that your puzzle falls into another disallowed category, such as an ongoing contest or something that the creators have asked not to be shared. A common manifestation of the latter case is when the poster will link to the original site, whose terms of service will disallow sharing content. In this case, we will usually leave a puzzle with its original close reason, since reopening and reclosing with a new reason takes time and/or bugging a moderator.
But wait, a lot of these front-page puzzles don’t have attribution! What gives?
The attribution requirement is mostly enforced for newer users, or on questions which "smell" of possible plagiarism/rule-breaking. (How to "smell" this is an art more than a science.) There are plenty of long-time users here who have a history of posting original content. The community relies on these users to know the rules, and assumes that if they don't specify otherwise, a puzzle is original, trusting that a well-known, established user is unlikely to use the site to cheat or otherwise break site policy.