Let $A= \{a_1,a_2,a_3,\ldots\}$. Define $B = A − \{a_{n^2} : n \in\mathbb N\}$. Prove that $|A|=|B|$.
I would say that $B = \{a_2,a_3,a_5,a_6,\ldots\}$. Thus $B$ is a infinite subset of $A$ and since $A$ is denumerable, $B$ is also denumerable. I do not know how to proceed from here.
You pretty much finished. Just remember that $X$ is denumerable if and only if $|X|=|\Bbb N|$, and that equicardinality is an equivalence relation.
Another option is to show there is an injection from $A$ into $B$. Then use the Cantor-Bernstein theorem.