The correct answer is (a) of.
Preposition Rule — "Made of" vs "Made from":
"Made of": Used when the original material is still visible/recognizable in the final product.
Example: The table is made of wood. (You can still see it is wood.)
"Made from": Used when the original material undergoes a chemical/physical change and is no longer recognizable.
Example: Paper is made from wood. / Wine is made from grapes.
For curd (দই): Curd is made OF milk — the base material (milk) is still recognizable in its transformed state as curd. In common usage and exam answers, "made of milk" is the standard accepted answer here.
✗ "made in" — indicates place of manufacture (made in Bangladesh).
✗ "made by" — indicates the maker (made by a craftsman).
Source: A Practical English Grammar – Thomson & Martinet.