The correct answer is B. I only.
Here's the reasoning:
I. It is a physical change. - This statement is true because when paper gets wet, it changes its state (from dry to damp), but it does not create a new substance. The paper remains paper.
II. It makes a new substance. - This statement is false. The chemical composition of the paper does not change when it gets wet; it simply absorbs water.
III. It is a chemical change. - This statement is false. A chemical change involves a change in the substance's chemical identity, which does not occur in this case.
Thus, only statement I is true.