Explanation:

- The little baby: This phrase is grammatically correct. It introduces the subject of the sentence, specifying that it's a young child.

- Cried loudly: Grammatically this is sound. It correctly describes the action and the manner of the cry.

- To a: Here lies the grammatical error. The phrase "to a new toy" implies direction, but toys are generally not perceived as destinations or recipients of crying. The more appropriate preposition could be "about" if expressing the reason for crying.

- New toy: This is correct. It describes the toy, giving the reader more information.

Answer: Option 2 - "to a"