Proposition: The Prime Numbers Set is infinite.
Proof: Suppose we have a finite set of prime numbers $p_{1}, p_{2}, ..., p_{n}$ such that $p_{n}$ is the largest of them.
Define $ c := p_{1}*p_{2}*...*p_{n}$
$c$ is clearly not prime.
Let $q = c + 1$ such that q is not divisible by $ p_{k} $ or other element of the set since 1 is not divisible by them.
Then $q$ is by itself a prime number or it is divisible by a prime number greater than $p_{n}$. That is not possible, since $p_{n}$ is the largest prime number. Contradiction!
Q.E.D.
Hint: http://en.wikipedia.org/wiki/Euclid's_theorem#Euclid.27s_proof