The sentence in the Direct Speech is in Simple Present Tense. Therefore, the sentence in the Indirect Speech should be in Simple Past Tense.
Simple Present (Subject + V1 + Object) should be converted into Simple Past (Subject +V2 + Object).
"That" is used in place of Inverted Commas while transforming the sentence from Direct Speech to Indirect Speech.
For example:
He said, "I never go to the village." (Direct Speech)
He said that he never went to the village. (Indirect Speech)
The following things in the sentence should change when changed from Direct speech to Indirect Speech:
'That' will be introduced in the sentence.
'I' will be changed to 'she'.
'Don't need' will be changed to 'didn't need'.
Therefore, the correct answer is option (b): She said impatiently that she didn't need any help.