I am having a real problem with this proof about voronoi diagrams:
Prove that $V(p_i)$ (i.e., the cell of $\operatorname{Vor}(P)$ which corresponds to $p_i$) is unbounded if and only if $p_i$ is on the convex hull of the point set, $P = \{p_1,p_2,\ldots,p_n\}$.
Can anyone offer some assistance?

I suggest you leverage the corresponding Delaunay triangulation for your proof. Every triangle of the Delaunay triangulation corresponds to a vertex of your Voronoi cells. Points on the convex hull are exactly those points which are not surrounded by Delaunay triangles. More precisely, a point lies on the convex hull iff every $\varepsilon$ neighbourhood contains points not belonging to any Delaunay triangle. Which means that there are directions in which the cell extends infinitely.