Theorem. In $\mathbb{R}^k$, every Cauchy sequence converges.
Proof: Let $\{x_n\}$ be a Cauchy sequence in $\mathbb{R}^k$. Define $E_N = \{x_k\mid k \geq N\}$. For some $N \in \mathbb{N}$, $\mathrm{diam}E_n < 1$. The range of $\{x_n\}$ is the union of $E_{N}$ and the finite set $\{x_1,\dots,x_{N-1}\}$. Hence $\{x_n\}$ is bounded. Since every bounded subset of $\mathbb{R}^k$ has compact closure in $\mathbb{R}^k$ (Theorem 2.41), (c) follows from (b).
While I think that I understand why the sequence is bounded (pick an $r = 1 + \max\{d(x_i, x_j)\mid 1\leq i < j \leq N\}$), I don't don't know how we can argue that the (range of the) sequence is closed. Specifically, the theorem 2.41 says that a subset of $\mathbb{R}^k$ which is closed and bounded is also compact. Is closedness somehow evident for sequences/Cauchy sequences?
Rudin says "every bounded set has compact closure." He is applying Theorem 2.41 to the closure of the set of points in the sequence, which is automatically closed; he is implicitly using that the closure of a bounded set is bounded.