Disappointment Island is located in New Zealand.

Explanation:
Disappointment Island is a small, uninhabited island located in the southern Pacific Ocean. It is part of the Auckland Islands group, which is a subantarctic archipelago in New Zealand.

Here is a detailed explanation of why option 'C' (New Zealand) is the correct answer:

1. Location and Geography:
- Disappointment Island is situated in the Southern Ocean, approximately 290 kilometers south of the South Island of New Zealand.
- It is one of the five main islands that make up the Auckland Islands group.
- The Auckland Islands are located in the subantarctic region, characterized by a cold and windy climate.

2. Historical Significance:
- Disappointment Island gained its name from the early explorers who were disappointed to find it barren and lacking freshwater.
- The island has a dark history associated with shipwrecks and tragedies. In 1866, the General Grant, a ship carrying gold and passengers, wrecked near Disappointment Island, resulting in the loss of over 100 lives.
- The island is known for its treacherous coastline and rocky terrain, making it a challenging place to navigate.

3. Wildlife and Conservation:
- Disappointment Island is an important habitat for various seabird species, including the endangered Auckland shag and white-capped albatross.
- The island, along with the rest of the Auckland Islands, is a UNESCO World Heritage Site and is protected as a nature reserve.
- Due to its remote location and limited human presence, the island and its surrounding waters provide a sanctuary for wildlife.

In conclusion, Disappointment Island is located in New Zealand. It is part of the Auckland Islands group, known for its rugged coastline, historical significance, and diverse wildlife.