The correct answer is D. No Error.
The sentence is grammatically correct and conveys the intended meaning. The phrase “by the time” indicates that the action in the second clause (we got our tickets and entered the cinema theater) happened after the action in the first clause (the show was already begun).
The sentence could be improved by adding more detail. For example, we could say “By the time we got our tickets and entered the cinema theater, the show had already started for 15 minutes.” This would give the reader a better idea of how late we were.
We could also change the order of the clauses. For example, we could say “The show had already started for 15 minutes by the time we got our tickets and entered the cinema theater.” This would emphasize the fact that we were late.