A physical change is a change in which no new substance is formed. The original substance can be recovered by simple physical methods (such as evaporation, filtration, or condensation), and no chemical bonds are broken or formed between different types of atoms.
Dissolving sodium chloride in water is a physical change. When NaCl dissolves, the ionic lattice breaks apart and Na+ and Cl- ions become surrounded by water molecules (hydration). However, no new chemical substance is created. The sodium chloride can be fully recovered by evaporating the water. The process is reversible.
The other options all involve chemical changes:
Addition of water to calcium oxide: CaO + H2O → Ca(OH)2. A new substance (calcium hydroxide) is formed, and considerable heat is released.
Corrosion of iron: Iron reacts with oxygen and moisture to form iron(III) oxide (rust, Fe2O3). New substances are produced irreversibly.
Burning of charcoal: C + O2 → CO2. Combustion produces a completely different substance (carbon dioxide) and is irreversible.