Recent studies investigating the role of challenge immersion caused by task demand have focused on correlating auditory event-related potentials (ERPs) to difficulty. However, traditional approaches focus on the mean amplitude of the ERPs and may be compromised by confounding variables. This study introduces a novel experimental protocol for studying challenge immersion when playing a VR jigsaw puzzle overcoming the common confounding variables by analyzing the area under the ERP curve and peak-to-peak amplitude. Although preliminary, our work shows promise for auditory ERPs as immediate markers of immersion that can be used to increase the immersion-related performance and learning transfer in VR trainings.