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There are many structures of proof. A simple one might be to prove a statement is true for all cases, by simply examining each case and demonstrating it, but as you point out this won't be useful for proving statements about infinite cases.
Instead you could assume, for the sake of argument, that the statement is false, and show how this leads to a logical inconsistency, which is called proof by contradiction. For example, Georg Cantor used a proof by contradiction to demonstrate that the set of Natural Numbers (1,2,3,4...) are smaller than the set of Real Numbers (which includes the Naturals and all decimal numbers like pi and 69.6969696969...), and so there exist different "sizes" of infinity!
For a method explicitly concerned with proofs about infinite numbers of things, you can try Proof by Mathematical Induction. It's a bit tricky to describe...
Wikipedia says:
Bear in mind, in formal terms a "proof" is simply a list of true statements, that begin with axioms (which are true by default) and rules of inference that show how each line is derived from the line above.
Very cool and fascinating world of mathematics!
Just to add to this. Another way could be to find a specific construction. If you could for example find an algorithm that given any even integer returns two primes that add up to it and you showed this algorithm always works. Then that would be a proof of the Goldbach conjecture.