I don't really know how to start this problem at all. I would like a solution or even hints.
"Prove that for every odd integer $n$ there is an integer $i$ such that $n \mid 2^i- 1.$"
The chapter in the book which provides this problem as an exercise is entitled "The Pigeonhole Principle" so I assume that the Pigeonhole Principle will be used in some way. The book is entitled "Conjecture and Proof" by Miklos Laczkovich.
Consider the numbers $2^1-1, 2^2-1,\dots$ Since there are infinitely many, at least two must have the same remainder modulo $n$. (This is the application of the pigeonhole principle. Naturally, you do not need to consider infinitely many of these numbers to reach the conclusion.)
Say that $i<j$, and that $2^i-1$ and $2^j-1$ have the same remainder modulo $n$. Then $n$ divides their difference, $2^j-2^i=2^i(2^{j-i}-1)$. Now use that $n$ is odd to conclude from this that, in fact, $n$ divides $2^{j-i}-1$.