The correct answer for the first biosphere reserve that was set up in India in 1986 is option 2, Nilgiris. A biosphere reserve is a protected area where conservation of biodiversity coexists with sustainable use of natural resources. Option 1, Nanda Devi, is also a biosphere reserve in India, but it was declared in 2004, which makes it incorrect in this context. Option 3, Nokrek, and option 4, Manas, are both biosphere reserves in India, but they were declared in 1988 and 1989, respectively, which also makes them incorrect answers. Thus, the correct answer is Nilgiris, which was the first biosphere reserve established in India in 1986.