The question asks which word contains the sound /é/, the closed e sound (pronounced like the vowel in the English word "day" but without the glide).
In French, the infinitive ending -er is always pronounced /e/ (the /é/ sound). The word marcher (to walk) ends in -er, so it contains the /é/ sound: /maʁʃe/.
The other options contain different vowel sounds:
frère (brother) contains /ɛ/ (the open e sound, written with a grave accent è), not /e/.
mère (mother) also contains /ɛ/ for the same reason.
peu (little) contains /ø/ (the closed eu sound), which is a rounded front vowel entirely distinct from /e/.
A useful rule: in French, é (accent aigu) and the endings -er, -ez always produce the closed /e/ sound, whereas è (accent grave) and ê (accent circonflexe) produce the open /ɛ/ sound.
