Prove that there is a maximum subset of $\mathbb{N}$ who is closed under summation and does not contain any prime number.
My work:
Idea is to use Zorn lemma. Let $F \subseteq \mathbb{N}$ be set of all such set with given properties. We also must see that $F$ isn't an empty set - for example in my set theory class we include $0\in \mathbb{N}$ so $F=\{0\}$ is one example.
Let $L$ be an arbitrary nonempty chain in $F$. We know that upper bound of chain $L$ is union of all elements in $L$.
But Zorn lemma told us that upper bound has to be in $F$. So we need to check this property first.
Let $L_1$ and $L_2$ be arbitrary set from our chain L.
L is chain and that implies that $L_1 \subseteq L_2$ or $L_2 \subseteq L_1$.
Without loss of generality we can assume that $L_1 \subseteq L_2$.
Ok, but I stuck here because I have no idea how to prove that union holds given properties.
You are almost there. The final blow is a classic in applying Zorn's lemma: pick any two elements from the union and argue that there has to be one of the $L_i$'s in which they both lie. Therefore so does their sum.
As for the primes, that is easier to see.