As a kid growing in Soviet Russia before Perestroika began, there were not that many toys, games and crafts available to you.
This puzzle is an example of the game that we were making using simple tools from father's toolbox and regular paper clips (bureaucracy provided infinite supply of paper-clips so they were quite easy to get),
(paper-clips and tools shown are not authentic although quite as regular and rusty)
Step 1: Straightening the paper-clip
Unwind the paper-clip with pliers or just by fingers (it's harder with bigger paper-clips).
Use flat part of pliers to make it straight where it was rounded.
Step 2: Ring
Make a ring on the end of the wire.
If it's not flat, use flat part of pliers to flatten it.
If it's too small, evenly press along it's length with pliers and it'll become bigger.
Don't make it too small (at least a quarter of the inch), but not too large either - see next step for proportions.
Step 3: Make one more ring
First, firmly grab the end of the ring with pliers and bend the long end of the wire perpendicular to the ring.
Then tighten the ring up slightly squeezing it with pliers.
Make another ring just like first one on the other end of the wire so both rings are in the same plane and the whole part can lie flat.
Step 4: Make another one and bend it as a bow
Make another one, make sure rings are of the same size before bending long tail perpendicular.
Bend second figure to make a bow with it's rings on the ends facing each other.
Step 5: Insert straight one into the rings of the bow
First, loosen rings of the bow with pliers, then insert straight part into the rings and tighten them.
Make sure rings on the bow don't let straight part get away.
We've made first part of the puzzle.
Step 6: Making The Heart
I call second part a "heart".
First we need to straighten third paper-clip and bend it slowly with fingers into U-shape.
Then squeeze it with pliers to make it narrow, but avoid a sharp angle.
Step 7: Making letter M from U and S
Measure a tip of narrow U to be a little bit longer then a diameter of the ring on the first part of the puzzle, grab it firmly with pliers and bend to make letter S.
Then grab another wire and bend it in the opposite direction so the face the same way.
Now if they didn't bend equally, use pliers to adjust.
Then slowly pull long tails in the opposite direction to get letter M (actually it makes anti-M - the outer strokes are diagonal and inner ones are parallel).
Step 8: Bend long ends to cross each other
Now, bend long ends of M to cross each other - you can make sharp angle or rounded one, it doesn't really matter since it's just going to be a handle.
Use pliers to give the part symmetrical shape.
Step 9: Twist the ends to make a handle
Once the shape is symmetrical, hold the ends above the crossing with the pliers and twist the ends with the fingers, try to distribute force evenly to make nice handle.
When it becomes hard to twist wires with fingers, use another set of flat pliers, make sure you hold on first pliers tight or it can start to bend the part above the handle.
Step 10: Cut the uneven part of the handle out
Most probably the end of the handle will look a bit uneven. Just use the cutting edge of pliers to cut it off.
Now, through the cuts into the garbage - it's very bad feeling when you catch them in the carpet with your bare feet. It also dangerous for small kids and they can die if they swallow them.
The second and last part of the puzzle is done.
Next step is the puzzle itself.
Step 11: The Puzzle itself
The puzzle is simple.
Two parts, "heart" and "bow" are separate, the goal is for heart to hang on the bow - see the images.
Try to solve the puzzle yourself before you read further.
Step 12: ALERT
ALERT - DON'T GO TO NEXT STEP (SOLUTION) UNLESS YOU GAVE UP SOLVING THE PUZZLE YOURSELF.
Step 13: SOLUTION
The solution is quite simple - slide narrow U-shaped part of the heart into the ring on the round part of the bow and push the ring on the straight part of the bow through the U, then slide the heart out of the ring and it's hanging on the bow.
Step 14: Variations
Obviously this puzzle was done in multiple variations - with sharp corners, square bows, large rings and so on.
Feel free to experiment - after all it only takes three paper-clips.