[proofplan]
We use the defining reflection property of a Mahlo cardinal: the strongly inaccessible cardinals below $\kappa$ form a stationary subset of $\kappa$. A stationary subset of $\kappa$ meets every closed unbounded subset of $\kappa$. Applying this to the given club $C$ produces a cardinal $\delta$ lying both in $C$ and in the set of strongly inaccessible cardinals below $\kappa$.
[/proofplan]
[step:Form the stationary set of inaccessible cardinals below $\kappa$]
Define
\begin{align*}
S := \{\delta \in \kappa : \delta \text{ is a strongly inaccessible cardinal}\}.
\end{align*}
Since $\kappa$ is Mahlo, the set $S$ is stationary in $\kappa$.
[guided]
We isolate the part of Mahloness that is relevant to the argument. Define the subset
\begin{align*}
S := \{\delta \in \kappa : \delta \text{ is a strongly inaccessible cardinal}\}.
\end{align*}
Here $S \subset \kappa$, and membership $\delta \in S$ means exactly that $\delta < \kappa$ and $\delta$ is strongly inaccessible.
By the definition of a Mahlo cardinal, the collection of strongly inaccessible cardinals below $\kappa$ is stationary in $\kappa$. Therefore the set $S$ just defined is stationary in $\kappa$. This is the only point where the Mahloness hypothesis is used.
[/guided]
[/step]
[step:Intersect the stationary set with the given club]
The hypothesis says that $C \subset \kappa$ is closed and unbounded in $\kappa$, that is, $C$ is a club subset of $\kappa$. Since $S$ is stationary in $\kappa$, and stationary subsets of $\kappa$ meet every club subset of $\kappa$, we have
\begin{align*}
S \cap C \neq \varnothing.
\end{align*}
Choose $\delta \in S \cap C$.
[/step]
[step:Read off the required inaccessible cardinal]
Because $\delta \in C$, the chosen ordinal lies in the given club. Because $\delta \in S$, the definition of $S$ gives that $\delta < \kappa$ and $\delta$ is a strongly inaccessible cardinal. Hence there exists a strongly inaccessible cardinal $\delta \in C$, as required.
[/step]