$\forall n \in \mathbb{N} \setminus \{0\}$ prove that $\mathbb{C}_n=\{z \in \mathbb{C}\;|\;z^n=1\}$ is a subgroup of $(\mathbb{C}\backslash\{0\},\cdotp)$ and that is a cyclic group of order $n$.
I know that a subgroup is when it's closed under the operation. Then to try to use the definition I noticed that $\mathbb{C}_1 = \mathbb{C}_{1+4n}$, $\mathbb{C}_2 = \mathbb{C}_{2+4n}$, $\mathbb{C}_3= \mathbb{C}_{3+4n}$, $\mathbb{C}_4 = \mathbb{C}_{4+4n}$, but I'm not sure if this is correct or not because I tried to prove it using induction but I failed. With that proven I thought that I could study the four sets one by one and see if they are subgroups to therefore prove that $\mathbb{C}_n$ is subgroup.
I'm not sure what you're saying when you write things like $C_1 = C_{1+4n}$, but this is false. The cyclic group $C_n$ is a group with $n$ elements in it. Therefore, $C_n \neq C_m$ whenever $n \neq m$.
You also said "a subgroup is when its closed under the operation," but this is false. For example, the set $\mathbb Z$ of integers is a group with respect to addition, and $\mathbb N = \{0, 1, 2, ...\}$ is a subset of $\mathbb Z$ which is closed under addition, but it is not a subgroup.
Here is the correct definition of subgroup: if $G$ is a group, then a set $H$ is a subgroup of $G$ if the following conditions are met:
$H$ is a subset of $G$
$H$ has at least one element
(Closure under the group operation from $G$) If $x$ and $y$ are elements of $H$, then so is $x \cdot y$.
(Closure under the inverse operation from $G$) If $x$ is an element of $H$, then so is $x^{-1}$.
So to show that $C_n = \{ z \in \mathbb C : z^n = 1 \}$ is a subgroup of $\mathbb C^{\ast} = \mathbb C \backslash \{0\}$, you need to verify all the above. The first two conditions are obvious: clearly, $C_n$ is a subset of $\mathbb C^{\ast}$, almost by definition. And clearly $C_n$ is not the empty set. What should you do next?