Step 1: Differentiate the given solution.
Given
\[
y = mx + \frac{2}{m}
\]
Differentiate w.r.t. \(x\):
\[
\frac{dy}{dx} = m
\]
Step 2: Eliminate the parameter \(m\).
From above,
\[
m = \frac{dy}{dx}
\]
Step 3: Substitute in the original equation.
\[
y = x\frac{dy}{dx} + \frac{2}{\frac{dy}{dx}}
\]
Step 4: Simplify.
Multiplying both sides by \(\frac{dy}{dx}\):
\[
y\left(\frac{dy}{dx}\right) = x\left(\frac{dy}{dx}\right)^2 + 2
\]
Step 5: Final conclusion.
Hence, the required differential equation is option (C).