What you will do will depend on what you and your colleague are talking about. If you are talking about something serious, you can check who is calling. You need to decide based on your priorities who you would have to talk to more. You can excuse yourself from your colleague which means that the answer is letter B.
You can tell your colleague to wait for a while as you really have to take the call. Be apologetic after and resume your conversation with your colleague after the phone call. The other options may be done too but it would depend on your present situation. For most people, B would be the most sufficient.