The correct answer is C. I only.
Let's analyze the statements:
I. It is a physical change. - True. When Jenny shapes the sand into a sandcastle, she is merely changing its form or shape without altering its chemical composition. This is a physical change.
II. It makes a new substance. - False. The sand is still sand; it has not undergone a chemical reaction to form a new substance.
III. It is a chemical change. - False. Since no new substances are formed and the physical state of the sand is simply altered, it is not a chemical change.
Thus, the only true statement is I.