The function in the Lemma $16.1$ is
$$f(x)=\begin{cases}e^{-1/x}&\text{for }x > 0\\0&\text{for }x \leq 0\end{cases}$$
(a) To show that $a<e^a$ I have tried to look at the Taylor series of $e^x$ and thus come to the conclusion that $e^a=1+a+a^2/2!+a^3/3!+...$ and therefore $a<e^a$, is this fine?
Using the help, we do $a=t/2n$ and so $\frac{t}{2n}<e^{t/2n}$ so $\frac{t^n}{(2n)^n}<e^{t/2}$ so $\frac{t^n}{e^t}<\frac{(2n)^n}{e^{t/2}}$, then, if $t=1/x$ then $\frac{1}{e^{1/x}x^n}< \frac{(2n)^n}{e^{1/2x}}$ and as $\frac{(2n)^n}{e^{1/2x}}\to 0$ if $x\to 0$ we conclude that $\lim_{x\to 0}f_n(x)=0=f_n(0)$.
(b) $\lim_{x\to 0}\frac{f_n(x)-f_n(0)}{x}=\lim_{x\to 0}\frac{1}{e^{1/x}x^{n+1}}$, but I do not know how to calculate this limit, could I use what I did in (a)? ($\frac{1}{e^{1/x}x^n}< \frac{(2n)^n}{e^{1/2x}}$)
(c) If $x\leq 0$ is clear, then consider $x>0$, from here we have that $f'_n(x)=\frac{x^{n-2}e^{-1/x}-e^{-1/x}nx^{n-1}}{x^{2n}}=x^{-n-2}e^{-1/x}-ne^{-1/x}x^{-n-1}=f_{n+2}(x)-nf_{n+1}(x)$
(d) How do I prove that $f$ is of class $C^{\infty}$? Can I use (c)? Thank you very much.

(a) Yes, that argument is fine for $a \geq 0$, which is really all that's necessary here. I'd phrase it as $e^a \geq 1 + a > a$ for clarity, but the argument is fine.
(b) You can use the result of (a)! You're trying to find $\lim_{x \to 0} \frac{1}{e^{1/x} x^{n+1}}$, but this is exactly $\lim_{x \to 0} f_{n+1}(x)$, which we know from (a) to be $0$.
(c) Yup.
(d) You can absolutely use (c). $f_n'$ can be written in terms of $f_{n+1}$ and $f_{n+2}$, which are both differentiable functions. Hence $f_n'$ is itself differentiable for all $n$. Then, we know $f_{n+1}$ and $f_{n+2}$ are both twice differentiable, so $f_n$ is thrice differentiable, and so on, giving you $C^\infty$ by easy induction.