**Core Concept**
The question is testing the student's knowledge of the cell wall composition of different microorganisms. Sterol is a type of lipid that is an essential component of the cell membrane in some microorganisms. In the context of cell wall composition, sterol is particularly relevant to fungi, where it plays a crucial role in maintaining membrane fluidity and integrity.

**Why the Correct Answer is Right**
The correct answer is a fungus, specifically **Candida**. Fungi, including Candida, have a cell wall that contains sterol, primarily ergosterol. Ergosterol is a critical component of the fungal cell membrane, where it helps maintain membrane fluidity and integrity. This is in contrast to bacteria, which have a cell wall composed of peptidoglycan, and archaea, which have a cell wall composed of pseudopeptidoglycan or glycoproteins.

**Why Each Wrong Option is Incorrect**
* **Option A:** Bacteria do not have sterol in their cell wall; instead, they have peptidoglycan.
* **Option B:** Archaea do not have sterol in their cell wall; instead, they have pseudopeptidoglycan or glycoproteins.
* **Option D:** Protozoa, such as Plasmodium, have a cell membrane that contains sterol, but their cell wall is primarily composed of proteins and other molecules, not sterol.

**Clinical Pearl / High-Yield Fact**
When treating fungal infections, it is essential to consider the role of ergosterol in the fungal cell membrane. Ergosterol is the target of several antifungal medications, including azoles and polyenes, which inhibit ergosterol synthesis or bind to ergosterol in the fungal cell membrane.

**Correct Answer:** C. Candida.