The two ways of relating what a person has said are 1)direct and 2)indirect (reported speech).In direct speech, the original speaker's exact words are repeated. In indirect/reported speech, the exact meaning is expressed but not necessarily using the original speaker's exact words. Pronouns and possessive adjectives usually change from first or second person to the third person except when the speaker is reporting his own words. Sometimes a noun can be inserted to avoid doubt.
When we turn direct questions and exclamations into indirect speech, they are converted to affirmative statement .( ? and ! is not used).
Option C is correct as when we convert the given advise (Be careful) to indirect speech, to is added and the introductory verb advised is used. The dialogues are connected using to which and do not is changed to not to , will to would and I to he.
The correct answer is C)Sam advised Sue to be careful to which Sue convinced him not to worry and said that she would.