he did not want to see that film.
The given sentence is a statement.
According
to the rules of narration and reporting, if the reporting verb is in
the past tense, the tense of the reported verb is changed into its
corresponding past form. The reporting verb in the given sentence,
'said', is in the past form. Therefore, the reported verb, 'do' will
change into 'did'. The first person pronoun 'I' will change into the person of the speaker. In indirect speech, 'this' will change into 'that'.
Thus, in indirect speech the sentence must be,
He said that he did not want to see that film.
Thus option A is the correct answer.
Options B,C,D,E are incorrect as they do not follow the rules of Narration and Reporting.