The correct answer is B. I only.
Here's the reasoning:
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I. It is a physical change. This statement is true. When Jenny shapes the sand into a sand castle, she is merely changing the shape of the sand without altering its chemical composition. This is characteristic of a physical change.
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II. It makes a new substance. This statement is false. While the sand is shaped into a castle, the composition of the sand remains the same; no new substance is formed.
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III. It is a chemical change. This statement is false. A chemical change involves a change in the chemical composition of the substance, which is not the case here.
Thus, only statement I is true.