The correct option is B Where do you live in New York?
Option B: A sentence always begins with a capitalized first word. So, the 'w' in 'where' will be 'W'.
The sentence asks a question, hence it will end in a question mark '?'.
'New York' is a name of a place, hence the initials 'N' and 'Y' are capitalized.
These punctuation marks can be seen in option B, hence it is correct.
Option A is incorrect because 'n' has not been capitalized "new York".
Option C is incorrect because the place 'new york' has not been capitalized.
Option D is incorrect because the comma ',' is not required. (A comma usually does not follow a preposition.)