Most of this can be found in Naive Lie Theory by John Stillwell.
Proof of simple connectivity of $SU(2)$: $SU(2)$ is homeomorphic to the space $S^3$. A loop $p:[0,1]\to S^3$ can be contracted by:
Ideally, picking a point not in the image of $p$, stereographically projecting from that point onto $\mathbb R^3$, and then contracting in $\mathbb R^3$ (which is clearly simply connected).
To deal with paths that fill space, which blocks the above argument, exploit the uniform continuity of paths. Uniform continuity implies that the domain of $p$ can be broken up into intervals of size $\delta$ such that the image of such an interval doesn't fill every point on the sphere. Within each such interval, straighten out the path, then apply the above argument.
Proof that $SU(2)$ covers $SO(3)$: Proof 1: $\mathfrak{su}(2)$ is isomorphic to $\mathfrak{so}(3)$, while the former is simply connected. (Is this correct?) Proof 2: Interpret $\mathfrak{su}(2)$ as a set of matrices (which is justified by the fact that $SU(2)$ is a matrix group) and a vector space too. Let $u$ and $v$ be in $\mathfrak{su}(2)$; observe that $e^{v\theta/2}\,u\,e^{-v\theta/2}$ is a rotation of $u$. The mapping $u \in \mathfrak{su}(2) \mapsto e^{v\theta/2}\,u\,e^{-v\theta/2}$ is the adjoint representation of $e^{v\theta/2}$, and every element of $SU(2)$ can be expressed as $e^{v\theta/2}$.