Let $K\subseteq\mathbb{C}$ be compact and non-empty. Show there exists a $z\in K$ such that $|z|=\inf\{|w|:w\in K\}$.
Is such a $z$ in general unique? Give an example of a non-compact $K$ such that no such $z\in K$ exists.
Oh boy, here we go. Since $K$ is non-empty there exists at least one $w\in K$ with $|w|\in \mathbb{R}$. Since $K$ is furthermore compact, there exists a lower bound in $\mathbb{R}$ for $|w|$ and hence by the infimum property of $\mathbb{R}$ necessarily an infimum. Now let $w=z$ and then $|w|=|z|$.
However, this $z$ is not in general unique, since the absolute value of complex numbers is defined as its distance from $0$, meaning there are infinitely many $w\neq z$ with $|w|=|z|$, e.g. $e^{i}=w$ and $e^{i\pi}=z$.
An example of a non-compact $K$ such that no such $z$ exists would be the set of all real numbers which is $\subseteq\mathbb{C}$.
Is this argument sufficient or even correct?
There is a lower bound because the set $\{|w|\,|\,w\in K\}$ is non-empty and each of its elements is non-negative. Therefore, $0$ is a lower bound. You don't need compactness for this.
The sentence “Now let $w=z$ and then $|w|=|z|$.” makes no sense. What is $z$?
You can use the fact that the function$$\begin{array}{ccc}K&\longrightarrow&\mathbb R\\w&\mapsto&|w|\end{array}$$is continuous. Therefore, it has a minimum.
In order to prove that $z$ is, in general, not unique, provide an example. For instance, take $K=\{z\in\mathbb{C}\,|\,|z|=1\}$. Then any $z$ will do.
The real numbers don't provide a counter example, since $|0|$ is the minimum of the absolute function there. Take $\mathbb{C}\setminus\{0\}$, for instance.