Q. At . . . . . . . . first they began to look for . . . . . . . . dry place.

Explanation by: Mr. Dubey

Option B is the answer since "first" is not succeeded by an event like day or month, and thus doesn't need an article to support it. The dry place mentioned in the statement is not a specific dry place that is being talked about, and thus will be accompanied by an indefinite article, which is "a".