So as always... I found the partial derivative with respect to $x$ and $y$ of $f(x,y)$ which gave me:
$f_x=-2x$
$f_y=2y$
So I wasn't too sure what to do next, but I set $f_x = 0$:
$0 = -2x$
$x=0$
And I got stuck again. How do I continue AND prove that $f(x,y)$ at $(0,0)$ has a critical point but is not max/min value? Thanks!
Intuitively:
If $x=0$, then $f(y)=y^2$ has a minimum point at $y=0$;
If $y=0$, then $f(x)=-x^2$ has a maximum point at $x=0$;
Thus, if $(x,y)=(0,0)$, then $f(x,y)=y^2-x^2$ has a saddle point.