$M$ is metric space, $A\subset M, F$ is closed in $M$, I'm asked to prove $A\cap F$ is closed in $A$.
First of all, what does "closed in $A$ mean"?
Does it mean that $A$ is now the metric space being considered?
If this is the case and a metric space is both open and closed, why can't I just say $A\cap F$ is closed because it is an intersection of two closed sets?
When $A$ is a subset of a metric space $(X,d)$ we consider it to be a metric space in its own right $(A, d_A)$, where $d_A$ is just the restriction of $d$ from $X \times X$ to $A \times A$: we only compute the distances between points of $A$, as this is the new "universe".
Any metric space defines a topology on its underlying set, in a way you probably know (or should). So $(A, d_A)$ also defines a topolgoy on $A$, in which we can talk about closed sets and open sets (and compact sets, connected sets, continuity etc.)
So now $F$ is closed in $X$, then $F \cap A$ is a subset of $A$.
We can use the following characterisation of closed sets in any metric space $Y$:
Now let $(a_n)$ be a sequence in $A \cap F$ such that in $A$ we have $a_n \to a \in A$. Because converge of a sequence is purely defined in terms of the metric ($\forall \epsilon>0: \exists N: \forall n \ge N: d_A(a_n, a) < \epsilon$ for the converge of $a_n$ to $a$) and as $d_A(a,a')=d(a,a')$ for all $a,a' \in A$ (that's what being a restriction means) $a_n \to a$ in $(X,d)$ as well. As all $a_n \in F$ ($A \cap F \subseteq F$) by the same characterisation we conclude that $a \in F$ as $F$ is closed in $X$. Hence $a \in A \cap F$ and we have shown that $A \cap F$ is closed in $A$.