This is the definition of the exponential integral
$$
\int \frac{e^{-x}}{x} dx=Ei(-x).
$$
Thus we can write
$$
\int_a^\infty \frac{e^{-x}}{x} dx=-Ei(-a),\quad \Re(a)>0.
$$
There is nothing to prove, it is just definition of the function. See here
http://en.wikipedia.org/wiki/Exponential_integral, where they write
$$
-\int_{-x}^\infty \frac{e^{-x}}{x} dx=Ei(x).
$$
Let me know if this helps.
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This is a so-called exponential integral and cannot be put in closed form in general, see also here for example.
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What you are asking for is exactly the Exponential Integral: $-Ei(x)$
You can look at it on MathWorld. It doesn't looks like a integral that could be exactly solved.
This is the definition of the exponential integral $$ \int \frac{e^{-x}}{x} dx=Ei(-x). $$ Thus we can write $$ \int_a^\infty \frac{e^{-x}}{x} dx=-Ei(-a),\quad \Re(a)>0. $$ There is nothing to prove, it is just definition of the function. See here http://en.wikipedia.org/wiki/Exponential_integral, where they write $$ -\int_{-x}^\infty \frac{e^{-x}}{x} dx=Ei(x). $$ Let me know if this helps.