Hi Miguel, how are you? I hope you are doing just fine!
The correct answer is ''I do not belong here'', without the preposition ''to''. That may be justified by the fact that ''belong'' in the context above is being used to say ''someone or something is (or fits in) the right place.''
So, you should know that the word ''belong'' functions as a verb that might take two different meanings, depending on which idea you may want to convey.
1) When the meaning is ''possession'': If something ''belongs to'' you, you own it or it is yours.
E.g.: ''Everything you see here belongs to me.''
E.g.: ''You are not allowed to take these books home, because they belong to our library.''
2) When the meaning is ''belonging/inclusion/acceptance'': You can also use ''belong'' to say that someone or something is in the right place. In this case, the word ''belong'' should be used on its own, or be followed by an adverbial phrase such as ''here'', ''over there'', or ''in the next room.''
E.g.: ''The plates don't belong in that cupboard.''
E.g.: ''They need to feel they belong.''
E.g.: ''I wish I had never belonged there.''
I hope I have been of some help to you! :)