Question: Show that $(5, 15, 25, 35)$ is a group under multiplication modulo 40.
So I first decided to make a Cayley Table that looks like this:
I apologize that I do not know how to make a Cayley Table in MathJax.
So I know it is closed, and associative because of multiplication inheritance.
I am just confused about the identity element. I could use some descriptive advice about how you find it. I know once you find that, you can use the table to find inverses of each.

Your identity element is $25$ because in mod $40$ you have
$$ 25\times 5=125 \equiv 5$$
$$ 25\times 15=375\equiv 15$$
$$25\times 25=625\equiv 25$$ $$25\times 35=875\equiv 35$$
It is interesting to see that for this group every element is its own inverse.