The correct option is
C Where
Wh-questions are used to ask for information. Such type of questions begin with what, where, why, whom, when, who, which, whose and how. Yes-No cannot be the answer to Wh-questions.
Who is used to ask for what or which person or people.
Why is used to ask for a reason.
Where is used to ask at what place or position.
Which is used for asking about choice.
In the given sentence, a place is asked where 1960 Olympic Games were held. Thus, option C is the correct answer.