Can someone give me a hint as to how to go about this problem?
Prove that we can identify the dual of $\ell_2(\mathbb{N})$ with $\ell_2(\mathbb{N})$ itself as follows: Let $\tau:\ell_2(\mathbb{N}) \rightarrow \mathbb{K}$ be a bounded linear functional, and prove that there exists a sequence $(y_n) \in \ell_2(\mathbb{N}$ such that $\tau((x_n))=\sum_{n=1}^\infty x_n\overline{y_n}$ for each $(x_n)\in \ell_2(\mathbb{N})$.
I don't want the solution. Just a few tips or any related links.
Define $\phi:\ell^2(\mathbb{N})\to\ell^2(\mathbb{N})^*$ to be that for all $x=(x_n)\in\ell^2(\mathbb{N})$ and $y=(y_n)\in\ell^2(\mathbb{N})$: $$\phi(x)(y)=\sum_{n=1}^\infty x_n\overline{y_n}.$$ It's obvious that $\phi$ is linear. Then it suffices to show that $\phi$ is an isometric isomorphism and hence every element of $\ell^2(\mathbb{N})^*$ can be represented by elements of $\ell^2(\mathbb{N})$. You may do the following steps
Show that $\phi$ is an isometry: First use Hölder's inequality it is easy to see that $\|\phi(x)\|\leq \|x\|_2$. To show the reverse inequality, let $x\in\ell^2(\mathbb{N})$ with $\|x\|_2=1$, and define $$y_n=\begin{cases}|x_n|^2/\overline{x_n}, &x_n\neq 0\\ 0,&\text{otherwise}.\end{cases}$$ Then it is easy to see that $\|y\|_2=1$ and $$\|\phi(x)\|\geq|\phi(x)(y)|=\|x\|_2^2=1.$$ Thus for any $x\in\ell^2(\mathbb{N})\setminus\{0\}$ we have $$\|\phi(x)\|=\|x\|_2\phi\left(\frac{x}{\|x\|_2}\right)\geq\|x\|_2,$$ which means $\|\phi(x)\|\geq\|x\|_2.$ Thus $\phi$ is an isometry, hence injective.
Secondly, show that $\phi$ is surjective. For each $n\in\mathbb{N}$, define $$e^{(n)}_m=\begin{cases}1,&n=m\\ 0,&n\neq m\end{cases}.$$ For each $\tau\in\ell^2(\mathbb{N})^*$, define $x^\tau=(x^\tau_n)$ via $x^\tau_n=\tau(e^{(n)})$. Then one can show that $x^\tau\in\ell^2$ and $\phi(x^\tau)=\tau.$
It looks long but this is not a complete solution. I left several details for you to fill in.