Step 1: Context of the Non-Aligned Movement (NAM)
The Non-Aligned Movement was established during the Cold War to provide a platform for countries that did not want to align with either the United States or the Soviet Union. The first conference of the Non-Aligned Movement took place in 1961.
Step 2: Analyzing the Options
- (A) New Delhi: Incorrect. New Delhi hosted the second Non-Aligned Conference in 1983, but not the first.
- (B) Belgrade: Correct. The first Non-Aligned Conference took place in Belgrade, Yugoslavia, in 1961.
- (C) Cuba: Incorrect. Cuba hosted the Non-Aligned Movement summit in 1979, but not the first conference.
- (D) Durban: Incorrect. Durban, South Africa, did not host the first Non-Aligned Conference.
Step 3: Conclusion
The first Non-Aligned Conference took place in Belgrade, Yugoslavia, in 1961.
\[
\boxed{\text{Correct Answer: (B) Belgrade}}
\]