This is fairly simplistic - don't read too much into this question. The fact is that EVERY employer on the face of this Earth wants to know that you really want to work for THEM.
You will prove that through your entire interview.
Don't mistake - and this is probably most important to remember - they know the game...they've been there, played it (perhaps still are.) So you can't say you've applied only with them...unless you can convince them that's true. But you also don't want them to think you'll take any 'ol job out there, so limit how many apps you admit to.