Setup for question:
Let $A$ bet a set. Let $\tau_2$ and $\tau_1$ be two topologies on $A$.
Statements to prove that are equivalent:
(I) $\tau_2 \subseteq \tau_1$ (i.e. $\tau_1$ is finer than $\tau_2$);
(II) for every $a\in A$ and $U \in \tau_2$ with $a\in U$ there exists $V \in \tau_1$ such that $a \in V \subseteq U$; and
(III) for every $a\in A$ and $U \in \tau_2$ with $a\in U$ there is a finite set $F \subseteq \tau_1$ such that $a \in \bigcap F \subseteq U$.
WORKING
(I) $\implies$ (II):
Suppose that $\tau_1$ is finer than $\tau_2$, i.e. $\tau_2 \subseteq \tau_1$. Let $a \in A$ and let $U \in \tau_2$. Then $U\in \tau_1$. If we set $U=V$ then $a\in V \subseteq U$.
(II) $\implies$ (I)
Suppose that for every $a\in A$ and $U \in \tau_2$ with $a\in U$ there exists $V \in \tau_1$ such that $a \in V \subseteq U$.
Let $B \in \tau_2$. For each point $a \in B$ there's a guaranteed existence of a set $S_a \in \tau_1$ such that $a \in S_a \subseteq B$. Indeed:
$$ B = \bigcup_{a \in B}S_a.$$
Since arbritary unions of $\tau_1$-open sets are $\tau_1$-open, the above equality shows that $B$ is $\tau_1$ open, i.e. $ B \in \tau_1$. Therefore, $\tau_2 \subseteq \tau_1$.
Help needed for (I) $\iff$ (III) OR (II) $\iff$ (III).
Your proof of $(I) \iff (II)$ is correct. To prove $(II) \implies (III)$ we can take $F = \{V\}$. Then $F$ is clearly a finite subset of $\tau_1$, and $$a \in \bigcap F = \bigcap \{V\} = V \subseteq U\,.$$
For the other direction: By definition of a topology, $V := \bigcap F$ is a member of $\tau_1$, and by assumption on $F$ it satisfies the condition in $(II)$.