Question

he likes to sit_____the sun.(a) UNDER (b) WITH (c) IN (d) BELOW

Answer 1

c) in
_________
He likes to sit in the sun.
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in is a preposition
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Hope it helps

Answer 2

He likes to sit in the sun.

Why not under, with, or below?
Because--

You are not sitting directly under the sun. You can sit 'under the umbrella', but not sun, else you will be cooked.

You can not sit with the sun, because the sun is a stationary object, and it certainly isn't a person who can walk around or sit like us. 

You can not use below in the statement because again, the sun isn't directly above us. 

We mostly use in the sun. Under the sun is a close and preferable option, but it is an idiomatic phrase we use in literary works, or to add a metaphor in something.