The correct option is
A Delighted
The given sentence is in past tense "when we heard...".
Also, the second half of the sentence is in passive voice, because the subject 'we' receives the action 'were + delight(ed)'.
('We were' is in passive form)
Option B: 'Were' pairs up with the past participle 'delighted', thereby forming the past tense in passive voice. It completes the sentence in meaning, hence option B is correct.
Option A: 'Delight' is the base verb and does not express tense.
Option C: 'Delighting' is a present participle. It does not refer to the past. It functions as an adjective, describing 'we' as 'delighting'. The past participle, in contrast, 'delighted', refers to the state of being delighted.
Option D: 'Delightful' is an adjective and does not express tense. It describes the subject 'we', but does not describe the action 'to be delighted'. The meaning hence formed is different.
So, options A, C and D are wrong.