It is closely related to this topic:
Prove that $x * y = \frac{x+y}{1+xy}$ is a stable part of $G=(-1, 1)$
As proven, $*$ is an internal operation for $G$. Plus one may observe that $\tanh$ is bijective from $R$ to $G$ and $\tanh(x+y)=\tanh(x)*\tanh(y)$
I guess I am supposed to conclude that $G,*$ is a group but I do not see precisely how ? What theorem or property should be used ?
$(G, *)$ is a group because it obeys the axioms of a group:
the operation $(G,*)$ has closure: what you call 'an internal operation'. But that is just the beginning; we also need:
it is associative: \begin{align} (x*y)*z &= \left(\frac{x+y}{1+xy}\right)*z\\ &= \frac{\frac{x+y}{1+xy}+z}{1 + \frac{x+y}{1 +xy}z}\\ &= \frac{x+y+z(1+xy)}{1 + xy + (x+y)z}\\ &= \frac{x+y+z + xyz}{1 + xy + xz + yz}\\ &=\frac{x(1+yz) + y + z}{1 + yz + x(y+z)}\\ &= \frac{x + \frac{y+z}{1 + yz}}{1 +x \frac{y+z}{1+yz}}\\ &= x * \left(\frac{y+z}{1 + yz}\right)\\ & = x * (y*z). \end{align}
there is an identity element in $G$: $\forall x\in G, x * 0 = \frac{x+0}{1+ x\cdot 0} = x$
every element has an inverse: for all $x \in G, \exists y \in G: x+y =0$. And $x+y=0 \implies x*y = 0$. So $\forall x \in G, \exists y \in G: x*y = 0$.