[guided]The residue of a meromorphic function $f$ at $\infty$ is defined by transferring the problem to $w = 0$ via $w = 1/z$. The precise definition is
\begin{align*}
\operatorname{Res}(f, \infty) := -\operatorname{Res}\!\left(\frac{1}{w^2} f\!\left(\frac{1}{w}\right),\, 0\right).
\end{align*}
The minus sign in the definition accounts for the orientation reversal: the "counterclockwise" direction around $\infty$ on the Riemann sphere corresponds to the clockwise direction around $0$ in the $w$-chart.
Define $h: \mathbb{C} \setminus \{0\} \to \mathbb{C}$ by $h(w) := w^{-2} f(1/w)$. Since $f$ is meromorphic on $\hat{\mathbb{C}}$ with finite singularities only at $z_1, \ldots, z_k$, and all of these satisfy $|z_j| < R$, the function $f$ is holomorphic for $|z| > R$, i.e., on $\{z \in \mathbb{C} : |z| > R\}$. Under $w = 1/z$, this region maps to $\{w \in \mathbb{C} : 0 < |w| < 1/R\}$, so $h$ is holomorphic on this punctured disc with $w = 0$ as its only possible singularity.
We apply [Cauchy's Residue Theorem](/theorems/352) to $h$ on the simply connected domain $B(0, 1/R)$, with the single singularity at $w = 0$. The winding number of $\tilde{\gamma}^-$ around $0$ is $1$ (counterclockwise circle around the origin). Therefore:
\begin{align*}
\frac{1}{2\pi i} \oint_{\tilde{\gamma}^-} h(w) \, dw = \operatorname{Res}(h, 0) = -\operatorname{Res}(f, \infty).
\end{align*}
Chaining together the equalities from all three steps:
\begin{align*}
\sum_{j=1}^{k} \operatorname{Res}(f, z_j) &= \frac{1}{2\pi i} \oint_{\gamma_R} f(z) \, dz \qquad &\text{(Residue Theorem in } B(0, R+1)\text{)} \\
&= \frac{1}{2\pi i} \oint_{\tilde{\gamma}^-} h(w) \, dw \qquad &\text{(substitution } w = 1/z\text{)} \\
&= -\operatorname{Res}(f, \infty) \qquad &\text{(definition of residue at } \infty\text{)}.
\end{align*}
Rearranging gives the desired identity:
\begin{align*}
\sum_{j=1}^{k} \operatorname{Res}(f, z_j) + \operatorname{Res}(f, \infty) = 0.
\end{align*}[/guided]