Proof attempt:
Let there be another clopen set $S$ in which is a proper subset of $\mathbb{R}$. Hence, $ S^c \neq \emptyset $.
We can assert the following statements:
- No point of $S$ lies in $S^c$.
No point of $\overline{S}$ lies in $S^c$ [Since the set $S$ is closed, no point of the derived set of $S$ is a member of $S^c$].
No point of $S^c$ lies in $S$.
No point of $\overline{S^c}$ lies in $S$. [$S$ is both open and closed. Hence its complement, i.e. $S^c$ is closed and open. (complement of a closed set is an open set and vice versa).]
Therefore, $S \cap \overline{S^c} =\emptyset$ and $\overline{S} \cap S^c= \emptyset $. Therefore, $S$ and $S^c$ are separated sets. Again, $S\cup S^c =\mathbb{R}$. Therefore, $\mathbb{R}$ is disconnected, a contradiction.
[ $\mathbb{R}$ is connected, since for any $x, y \in \mathbb{R}$ $\implies$ $z \in \mathbb{R}$, where $z$ is any point such that $x<z<y$.]
Is it correct?
EDIT:
I don't know how to react (every answer being downvoted by someone with a better understanding of the subject than mine). I now try to write up a proof ( although very much unoriginal and basically a copy-paste from Rudin).
We can all agree on the fact (regarding $\mathbb{R}$) that for any two numbers $x, y \in \mathbb{R}$ with $x<y$, every number between $x$ and $y$ belongs to $\mathbb{R}$ (can we?).
Suppose, $\mathbb{R}$ can be written as the union of two non-empty separated sets $A$ and $B$ (i.e. by the very definition of separated sets, $A \cap \overline{B}= \emptyset$ and $ \overline{A} \cap B= \emptyset )$
We pick $x \in A$ and $y \in B$ with $x<y$. Define $z= \sup(A \cap [x,y])$. $z$ is going to be a limit point of $A$, $z \in \overline{A}$, therefore $z \notin B$. $\ $ $x\leq z<y$. If $z\notin A$, clearly $z\notin \mathbb{R}$. Again, if $z\in A$, we can find some $t$ between $z$ and $y$ such that $t\notin B$ [since $z$ is not a limit point of $B$]. Consequently, $t \notin \mathbb{R}$.
Being not a union of two separated subsets, $\mathbb{R}$ is connected.
This can be done simpler. Suppose there is a nonempty, clopen subset $S$ of $\mathbb{R}$.
Suppose there exists an $x$ in $\mathbb{R}$ that is not in $S$.
Case 1: $(]x, +\infty[ \; \cap \; S)$ is nonempty. (If Case 1 is not the case, then the only other possibility is that $]-\infty, x[ \; \cap \; S$ is nonempty, and this is handled analogously to Case 1, so I won't do it.)
Let $$ x_{S} = \inf \left(\; ]x, +\infty[ \; \cap \; S \;\right) \in \mathbb{R}. $$ Now, since $S$ is clopen, it contains $x_{S}$, but then $x_{S}$ cannot be interior to $S$, so $S$ cannot be open.
Therefore, there is no such $x$, and $S = \mathbb{R}$.