A. He exclaimed sorrowfully that it was a cold day.
B. He exclaimed that it was a very cold day.
C. He told her that it was a cold day.
D. He exclaimed that it was a cold day.
Explanation
The sentence "He said to her, 'What a cold day!' " is a direct quote
By converting it to the sentence "He exclaimed that it was a very cold day", the speaker's tone is emphasized as being one of exclamation or surprise at the cold weather.