Let p(x) be irreducible of degree m in $\mathbb Z_p[x]$. Let $K$ be the finite extension of $\mathbb Z_p$ obtained by adjoining all the zeros of $p(x)$ in $\mathbb {\bar Z_p}$. Then $K$ is a finite field of order $p^n $ for some positive integer $n$, and consists precisely of all zeros of $x^{p^n}− x$ in $\mathbb {\bar Z_p}$. Now $p(x)$ factors into linear factors in $K[x]$, and these linear factors are among the linear factors of $x^{p^n}− x$ in $K[x]$. Thus $p(x)$ is a divisor of $x^{p^n}− x$.
It's Ok?
Thanks.
That's correct, but requires a small remark: the linear factors of $p$ cannot be repeated, because finite fields are perfect (that is, irreducible polynomials cannot have multiple root in any extension). This result is usually proved in every course on field extensions.
This remark is important, because $x^{p^n}-x$ has no multiple roots, but, at least in principle, $p(x)$ might.
An example of an irreducible polynomial having repeated roots is $x^2-t\in \mathbb{F}_2(t)[x]$ (but, of course $\mathbb{F}_2(t)$ is not a finite field).