A prepositional phrase is a group of words that consists of a preposition, its object, and the words that modify the object. A preposition is a word used to connect a word with other words in the sentence and express the relationship between them (e.g. space and time).
There are two prepositions in the given sentence - <em>in </em>and <em>at</em>. The only option that includes one of these two prepositions is option B, which is why it's the correct one.