Here's what I have so far:
I know that $\mathbb{Z}$ is an integral domain, and from the formal definition of an ideal generated by the single element $p$ where $p$ is a prime,
$$ (p) = \{r_1ps_1 + ... + r_nps_n: n \in \mathbb{N}_0, r_1, ..., r_n, s_1, ..., s_n \in \mathbb{Z}\} = \{pz : z \in \mathbb{Z}\} = p\mathbb{Z}. $$
From the definition of localization of the ring $\mathbb{Z}$ with respect to the subset $(p)$,
$$ \mathbb{Z}_{(p)} = \{\frac{a}{b} : a \in \mathbb{Z}, b \in \mathbb{Z} \setminus (p)\} = \{\frac{a}{b} : a,b \in \mathbb{Z}, p \nmid b\}. $$
I am a little confused with showing that for $n \geq 0$ the set $(p^n) = p^n\mathbb{Z}$ is in fact an ideal of $\mathbb{Z}_{(p)}$, since for any $x \in \mathbb{Z}_{(p)}$, $x$ is of the form
$$ x = \frac{a}{b}, \quad a,b \in \mathbb{Z}, p\nmid b, $$
and for any $w \in (p^n)$, $w$ is of the form
$$ w = mp^n, \quad m \in \mathbb{Z}, n \geq 0 $$
so that
$$ xw = \frac{a}{b} \cdot \frac{mp^n}{1} = \frac{amp^n}{b} \in \mathbb{Z}_{(p)}, \quad wx = \frac{mp^n}{1} \cdot \frac{a}{b} = \frac{amp^n}{b} \in \mathbb{Z}_{(p)} $$
provided that I associate the element $mp^n \in (p^n)$ with the element $\frac{mp^n}{1} \in \mathbb{Z}_{(p)}$. It doesn't seem to be that these elements are necessarily elements of $(p^n)$ however (i.e., how do I know that $\frac{am}{b}$ will be an integer?). Am I misinterpreting the ideal $(p^n)$ or the localization $\mathbb{Z}_{(p)}$?
Furthermore I have no idea on where to start with proving that the converse is true; that every ideal of $\mathbb{Z}_{(p)}$ is in fact of this form. Right now I am working with the idea that if in fact $(p^n)$ is an ideal of $\mathbb{Z}_{(p)}$, then there exists a ring $S$ and a ring homomorphism $f: \mathbb{Z}_{(p)} \rightarrow S$ such that $\ker(f) = (p^n)$, but I'm not sure if this is this path will lead to any meaningful results.
Please note that here $(p^n)$ means $p^n\mathbb Z_{(p)}$, not $p^n\mathbb Z$.
In $\mathbb Z_{(p)}$ $x$ is a non-unit if and only if $x$ is of the form $p^k\frac{a}{b}$ where neither $a$ nor $b$ are in $(p)$ with $k>0$ (clearly this is only the case if $x=p\frac{x'}{b}$. By factoring out $p$s one reaches this form).
Thus any proper Ideal $I$ in $\mathbb Z_{(p)}$ has to consist only of Elements of the form $p^k\frac{a}{b}$ with some $k>0$ and any $a,b\not\in(p)$ (and it does in fact contain $p^k\frac{a'}{b'}$ for any $a'/b'$, and thus $p^k$).
Now set $n$ the minimal $k$ so that $p^k\in I$. Then obviously any other Element of $I$ is of the form $p^l \frac{a}{b}$ with $l\geq n$, so $p^l\frac{a}{b} = p^n (p^{l-n}\frac{a}{b})$. Thus $I=(p^n)$.