Somethings not quite right in the statement i think. First of all, i guess the q is prime. Secondly, do you mean over the field GF(q^n) and not Z_q ?
[edit]Now that i think about it, you did mean Z_q. Let me call it F_q rather.
The proof of this is carried out over some steps.
1. Lemma : If f belongs F_q[x] is an irreducible polynomial over F_q of degree m (say), then f(x) would divide x^q^n - x iff m divides n
This would imply that all monic irreducible polynomials over F_q that we see in the factorization of x^q^n-x (belonging to F_q[x]) are exactly those whose degree divides n
2. Lemma : An f belonging to F_q[x] has a multiple root iff (f,f') != 1
Now Consider g(x) = x^q^n-x. So g'(x) = -1. So from the above lemma, we get that all monic irreducible polynomials whose degree divides n, occur exactly once in factorization of g in F_q[x]
Hence proved.
I have avoided proofs of the above lemmas. I guess they should be simple enough to be proved.[/edit]
-- AI