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Let your set of integers be . We will prove that there is some nonempty subset such that the sum of the elements of is divisible by .
Let , for . If any one of is divisible by , then we are already done.
If this is not the case, then by the Pigeonhole Principle, there must exist such that . Then, . But , meaning that is also the sum of the elements in some nonempty subset of . This completes the proof.
It is interesting to note that the method above will give you a subset of that has the sum of its elements divisible by , no matter which ordering of the elements of you use. This doesn't mean that the statement that we have just proved is weak or trivial, but it does mean that finding a subset that satisfies the desired condition is actually quite easy.