Step 1: Understanding the Concept:
The Non-Aligned Movement (NAM) was formed during the Cold War by countries that chose not to formally join either the US-led or the Soviet-led bloc. India, under Jawaharlal Nehru, was one of its founding leaders.
Step 2: Fixing the location.
The First Non-Aligned Conference was held in Belgrade, then the capital of Yugoslavia, in September 1961, hosted by Yugoslav President Josip Broz Tito along with Nehru, Egypt's Nasser, and Indonesia's Sukarno.
Step 3: Why the other options are wrong.
Japan and "Africa" are not specific NAM host locations for this first meeting; Africa is a continent, not a city, so it cannot be the precise venue asked for. Cuba later hosted NAM summits, but not the very first one.
Final Answer:
The first Non-Aligned Conference was held in Belgrade. This corresponds to option (B).