A comma is used to introduce a short, direct quotation in the form of a complete sentence. Option B is correct.
Commas should be used:
prior to any coordinating conjunction (and, but, for, or, nor, so, yet) that links two independent clauses;
after a dependent clause that starts a sentence;
to offset appositives from the rest of the sentence;
to separate items in a series;
following introductory adverbs;
when attributing quotes, (If attribution comes before the quote, place the comma outside the quotations marks);
when directly addressing someone or something in a sentence; and so on.