The usual route for proving that $A=B$ (set equality) is showing that $A \subset B$ and $B\subset A$, but in this case doing this is almost tautological. Instead, we can use Yuxiao Xie's suggestion.
By definition, we have that:
$$(\mathbb{R}\setminus\mathbb{Z})\times \mathbb{N}=\{(x,y)\,|\, x \in\mathbb{R}\setminus\mathbb{Z}\, \text{ and } y \in \mathbb{N} \}$$
On the other hand, we have that:
\begin{aligned}
(\mathbb{R}\times\mathbb{N})\setminus(\mathbb{Z}\times \mathbb{N})
&=\{(x,y)\,|\, (x,y) \in\mathbb{R}\times\mathbb{N}\, \text{ and } (x,y) \notin \mathbb{Z}\times\mathbb{N} \}\\
&=\{(x,y)\,|\, [x \in\mathbb{R}\,\text{ and } y\in\mathbb{N}]\, \text{ and } [x \notin \mathbb{Z}\,\text{ or }y\notin\mathbb{N}] \}\\
&=\{(x,y)\,|\, x \in\mathbb{R}\,\text{ and } y\in\mathbb{N}\, \text{ and } x \notin \mathbb{Z} \}\\
&=\{(x,y)\,|\, x \in\mathbb{R}\setminus\mathbb{Z}\,\text{ and } y\in\mathbb{N}\}\\
&=(\mathbb{R}\setminus\mathbb{Z})\times \mathbb{N}
\end{aligned}
It's still pretty tautological, but I guess that's because the exercise is perhaps a bit too simple; all one has to really do is check some definitions and apply basic logic (and, or, negation).
\setminus
for that, as in $\mathbb{R}\setminus\mathbb{Z}$. This is to prevent confusion between: \begin{aligned}\mathbb{R}\setminus\mathbb{Z} &= \{x \in \mathbb{R}\,|\,x \notin \mathbb{Z}\}\\ \mathbb{R}-\mathbb{Z} &= \{ x\in \mathbb{R}\,|\,\exists r \in \mathbb{R}, \, \exists z \in \mathbb{Z}, \, x = r-z\}\end{aligned} In this particular case, $\mathbb{R}-\mathbb{Z}$ is simply $\mathbb{R}$, but generally these 'translations' can lead to different sets. $\endgroup$ – Fimpellizieri Sep 8 '16 at 7:35