In chemistry, when we talk about a change we are talking about one of two types of changes: physical and chemical.  A chemical change is a change whereby the actual chemical identity of the substance has changed.  In others words, chemical bonds are broken and remade to convert one type of molecule into another different molecule.  A physical change is a change in form only of a substance; the actual chemical identity is still the same.  A physical change represents a change in the physical properties of a substance, like the color, shape, size, density, crystal form, change of phase (solid, liquid, or gas), etc.  Let's look at each answer choice.

A.  Burning a piece of paper is technically called combustion.  It represents a chemical reaction whereby the carbon compounds in the paper are oxidized into different chemicals like carbon dioxide and water vapor.  This is a chemical change.

B.  Baking a cake changes the texture and consistency of the batter, but the chemical elements that went into the batter remain the same.  This is a physical change.

C.  Heating sugar until carmelization.  This again combusts the carbon in the sugar molecules to make new chemicals.  This is a chemical change.

D.  Salt water.  This is simply of solution of salt in water and represents neither a chemical or physical change.

So the correct answer is B.