[proofplan]
We collect the chosen sets $U_j$ into a finite subfamily of $\mathcal U$. Then we prove it covers $X$ by taking an arbitrary point $x \in X$, using the fact that $\mathcal W$ covers $X$ to place $x$ in some $W_j$, and then using the containment $W_j \subset U_j$. This verifies exactly the two requirements for a [finite subcover](/page/Finite%20Subcover): finiteness and coverage by members of the original cover.
[/proofplan]
[step:Collect the chosen sets into a finite subfamily of $\mathcal U$]
Define the finite index set
\begin{align*}
J := \{1, \ldots, n\}.
\end{align*}
Define the chosen family
\begin{align*}
\mathcal V := \{U_j : j \in J\}.
\end{align*}
For every $j \in J$, the hypothesis gives $U_j \in \mathcal U$. Hence every element of $\mathcal V$ belongs to $\mathcal U$, so
\begin{align*}
\mathcal V \subset \mathcal U.
\end{align*}
Since $\mathcal V$ is indexed by the finite set $J$, it is finite. If some of the chosen sets $U_j$ coincide, the set notation defining $\mathcal V$ simply collapses repetitions, and the resulting family remains finite.
[/step]
[step:Use the finite cover $\mathcal W$ to show that $\mathcal V$ covers $X$]
Let $x \in X$ be arbitrary. Since $\mathcal W = \{W_1, \ldots, W_n\}$ is a cover of $X$, there exists $j \in J$ such that $x \in W_j$. For this index $j$, the chosen refinement containment gives $W_j \subset U_j$, so $x \in U_j$. Since $U_j \in \mathcal V$, we have
\begin{align*}
x \in \bigcup_{V \in \mathcal V} V.
\end{align*}
Because $x \in X$ was arbitrary, it follows that
\begin{align*}
X \subset \bigcup_{V \in \mathcal V} V.
\end{align*}
[guided]
We must prove that the chosen family $\mathcal V = \{U_j : j \in J\}$ covers every point of $X$. The natural way to prove a set inclusion is to start with an arbitrary point of the left-hand side. So let $x \in X$ be arbitrary.
The only information that tells us where points of $X$ lie is that $\mathcal W = \{W_1, \ldots, W_n\}$ is a cover of $X$. By the definition of cover, this means that every point of $X$ lies in at least one member of $\mathcal W$. Therefore there exists an index $j \in J$ such that
\begin{align*}
x \in W_j.
\end{align*}
For this same index $j$, the hypothesis gives the containment
\begin{align*}
W_j \subset U_j.
\end{align*}
Membership is preserved under containment, so $x \in W_j$ and $W_j \subset U_j$ imply $x \in U_j$. By definition of $\mathcal V$, the set $U_j$ is one of the members of $\mathcal V$. Hence
\begin{align*}
x \in \bigcup_{V \in \mathcal V} V.
\end{align*}
Since the argument works for an arbitrary $x \in X$, we have proved the inclusion
\begin{align*}
X \subset \bigcup_{V \in \mathcal V} V.
\end{align*}
Thus $\mathcal V$ covers $X$.
[/guided]
[/step]
[step:Conclude that the chosen family is a finite subcover]
The family $\mathcal V = \{U_j : j \in J\}$ is finite and satisfies $\mathcal V \subset \mathcal U$. The previous step proved that $\mathcal V$ covers $X$. Therefore $\mathcal V$ is a finite subcover of $\mathcal U$. Since $\mathcal V = \{U_1, \ldots, U_n\}$, the family $\{U_1, \ldots, U_n\}$ is a finite subcover of $\mathcal U$.
[/step]