Explanation
Let's look at the meanings of the following phrasal verbs:
keep at- continue with something difficult
keep from- control or refrain
keep to- stay within limits
keep up- maintain a continuous action or persist
Of the given options, only the 3rd option i.e. to makes sense with the given verb.
As per the context of the sentence, the subject was told by the policeman to stay to the left side.
Thus the preposition 'to' will be the correct choice in the blank part of the sentence.
Correct Sentence: The policeman told me to keep to the left.