I'm trying to understand the proof for why $\mathbb{R}^2$ is complete with respect to the standard Euclidean metric.
If we let $(X_n)=(x_n,y_n)\in \mathbb{R}^2$ be Cauchy, then for all $\epsilon > 0$ there exists an $N\in\mathbb{N}$ such what whenever $m,n>N$ we have that $d(x_m,x_n)=\sqrt{|x_m-x_n|^2+|y_m-y_n|^2}<\epsilon$. This implies that $|x_m-x_n|<\epsilon$ and $|y_m-y_n|<\epsilon$. Since we know that $\mathbb{R}$ is complete, there exist $x$ and $y$ such that $x_n\rightarrow x$ and $y_n\rightarrow y$.
This all makes sense to me. The next line is where I get confused. I have that "by continuity" $\lim_{n\rightarrow \infty} d(X_n,X)=\lim_{n\rightarrow \infty}\sqrt{|x_n-x|^2+|y_n-y|^2}=0$. Why is this the case, and why does this prove the result? Are we using the continuity of the metric, and if so how does this help us?
I guess you are saying something like $(u_{n})\in{\bf{R}}^{2}$ and $u_{n}=(x_{n},y_{n})$.
So $d(u_{n},(x,y))=\sqrt{|x_{n}-x|^{2}+|y_{n}-y|^{2}}\leq\epsilon$ follows by $\sqrt{|x_{n}-x_{m}|^{2}+|y_{n}-y_{m}|^{2}}<\epsilon$ for all $m,n>N$ by taking $m\rightarrow\infty$ and the condition that $x_{m}\rightarrow x$, $y_{m}\rightarrow y$.
The continuity is like this. For fixed $n$, $x_{n},y_{n}$ are constants, then $|x_{n}-x_{m}|\rightarrow|x_{n}-x|$, $|y_{n}-y_{m}|\rightarrow|y_{n}-y|$ as $m\rightarrow\infty$. Then the continuity of $|\cdot|^{2}$ implies that $|x_{n}-x_{m}|^{2}\rightarrow|x_{n}-x|^{2}$ and $|y_{n}-y_{m}|^{2}\rightarrow|y_{n}-y|^{2}$. And the addition $(u,v)\rightarrow u+v$ is continuous and hence $|x_{n}-x_{m}|^{2}+|y_{n}-y_{m}|^{2}\rightarrow|x_{n}-x|^{2}+|y_{n}-y|^{2}$. And the $\sqrt{\cdot}$ is continuous, and the result follows in the similar way.