So far I've got:
Suppose gcd$(p,g)\neq 1$, so $p\mid g$ and hence $p^e\mid g^e$ so $g^e\equiv 0 $ (mod $p^e$)
Also $g^{p^{e-1}(p-1)}\equiv 1$ (mod $p^e)$ because $g$ is a primitive root.
Not sure where to go from here!
So far I've got:
Suppose gcd$(p,g)\neq 1$, so $p\mid g$ and hence $p^e\mid g^e$ so $g^e\equiv 0 $ (mod $p^e$)
Also $g^{p^{e-1}(p-1)}\equiv 1$ (mod $p^e)$ because $g$ is a primitive root.
Not sure where to go from here!
If $p\mid g$ then any power of $g$ is divisible by $p$, so you could never obtain $1\bmod {p^e}$.
Or: From $g^m\equiv 1\pmod {p^e}$ with $m\ge1$ we see $g^{m-1}\cdot g+kp^{e-1}\cdot p=1$ for some integer $k$, so $\gcd(g,p)\mid 1$.