$\leq_{cw}$ is the partial component wise ordering relation. Given a set $M \subset \mathbb{N}_0^n$ we define $N = \min_{cw}(M)$ with $v \in N$ iff if $u \in M$ and $u \leq_{cw} v$ then $u = v$. I want to prove that $N$ is finite.
The intuition is quite clear to me from a combinatorical point of view. But I don't know how to formally proof that. There is hint in the exercise to first prove that $\mathbb{N}_0^n$ is countable. I proved that but I do not see a connection.
Let us prove the somewhat stronger claim:
Before that we will prove two small Lemma's which will make the proof of the above claim much simpler.
Proof: Note that $y\leq_{cw} x$ if and only if for all $i<n$ we have $y(i)\leq x(i)$. This means that there are at most $\max\{x(i)\mid i<n\}\cdot n$ many possible vectors with this property, as wanted. $\square$
Proof: Let $y(i)=\max\{x_j(i)\mid j=1,\ldots,k\}$. It is clear that $y$ is as wanted. $\square$
Finally we prove the theorem:
Proof: Suppose $M\subseteq\mathbb N^n$ is an infinite set, we will find two elements comparable. Let $x_i\in M$ be such that the $i$-th coordinate of $x_i$ is minimal in $M$, now let $x\in\mathbb N^n$ be as described in Lemma II.
Since $T=\{y\in\mathbb N^n\mid y\leq_{cw} x\}$ is finite, we have that $M\setminus T$ is infinite therefore it contains some $y$, but $y$ is necessarily larger than all $x_i$'s we have constructed therefore we have at least two elements comparable in $M$ (I am saying at least two because it is possible that the $x_i$'s are all the same). $\square$
Proof: Using the theorem above it is enough to show that this set forms an anti-chain, which is immediate from the definition of $\min M$. $\square$
(Do note, that the Corollary is equivalent to the Theorem. If we assume the Corollary, take $M$ to be an anti-chain then $M=\min M$, and therefore it is finite.)