A set is closed under an operation if performing the operation on the numbers in the set results in a number that is in the set.
Addition:

-2, 0, 2 aren't in the set, so the set isn't closed under addition.
Subtraction:

-2, 0, 2 aren't in the set, so the set isn't closed under subtraction.
Multiplication:

-1 and 1 are in the set, so the set is closed under multiplication.
Division:

-1 and 1 are in the set, so the set is closed under division.
The answers are C and D.