Where was the first meeting of NAM (Non Aligned Movement) held?

The correct answer is Option 1 - Belgrade in Yugoslavia.

The Non-Aligned Movement was formally launched at its first summit held in September 1961 at Belgrade in Yugoslavia.

Remaining options:

The Asian Relations Conference was an international conference that took place in New Delhi from 23 March to 2 April, 1947.
NATO was formed on 4 April 1949, Washington, D.C., United States.
First world environmental summit was held in Stockholm, Sweden from 5 to 16 June 1972,