Denote $C^\infty_c(\mathbb{R})$ the space of all compactly supported infinitely differentiable functions. We equipped $C^\infty_c(\mathbb{R})$ the topology induced by the following family of semi-norms: $$p_{n}(f)=\max_{\alpha\leq n}\sup_{x\in K_n}|f^{(\alpha)}(x)|,\quad n\in\mathbb{N}$$ where $(K_n)_{n\in\mathbb{N}}$ is an increasing sequence of compact sets such that $\bigcup_{n=1}^\infty K_n=\mathbb{R}.$ Then consider the sequence given by the following: Choose $\phi\in C^\infty_c(\mathbb{R})$ such that $\phi(x)=0$ whenever $x\neq[0,1]$. Define $$\phi_n(x)=\sum_{j=1}^n 2^{-j}\phi(x-j),\quad x\in\mathbb{R}, n\in\mathbb{N}.$$
Intuitively, since the $\phi_n$ converges pointwise to a function which is not compactly supported, it follows that $\phi_n$ cannot be a Cauchy sequence in $C^\infty_c(\mathbb{R})$ with the topology we equipped, as this topology is complete. However, I'm having trouble to prove this by using these semi-norms. Could anyone give some suggestions? Thanks.
You just have found a counterexample that shows that $C^\infty_c (\mathbb{R})$ isn't complete with the linear topological structure you used. That's why that space isn't usually equipped with that topology. Reference: Rudin's Functional Analysis at page 137.