Use milk as a working example: milk is made of fine fat and protein particles spread through water.
Since the fat and protein particles in milk take the role of the solute, that is the correct answer for the dispersed phase in a colloid.
A colloid has exactly two structural parts: the substance that is spread out (the dispersed phase) and the substance it is spread through (the dispersion medium). Match each option to see which one names the first part.
The role of the dispersed phase in a colloid is filled by the solute, so that is the correct answer.